Optimal contracts in continuous-time models.
Cvitanić, Jakša, Wan, Xuhu, Zhang, Jianfeng (2006)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
The search session has expired. Please query the service again.
Cvitanić, Jakša, Wan, Xuhu, Zhang, Jianfeng (2006)
Journal of Applied Mathematics and Stochastic Analysis
Similarity:
Shigeyoshi Ogawa, Monique Pontier (2007)
ESAIM: Probability and Statistics
Similarity:
We consider an extension of the Kyle and Back's model [Back, (1992) 387–409; Kyle, (1985) 1315–1335], meaning a model for the market with a continuous time risky asset and asymmetrical information. There are three financial agents: the market maker, an insider trader (who knows a random variable which will be revealed at final time) and a non informed agent. Here we assume that the non informed agent is strategic, namely he/she uses a utility function...
Mukuddem-Petersen, J., Petersen, M.A., Schoeman, I.M., Tau, B.A. (2007)
Journal of Applied Mathematics
Similarity:
Naoyuki Ishimura, Yuji Mita (2009)
Kybernetika
Similarity:
We deal with the optimal portfolio problem in discrete-time setting. Employing the discrete Itô formula, which is developed by Fujita, we establish the discrete Hamilton–Jacobi–Bellman (d-HJB) equation for the value function. Simple examples of the d-HJB equation are also discussed.
Pierre-Louis Lions, Jean-Michel Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
Similarity:
P.-L. Lions, J.-M. Lasry (2007)
Annales de l'I.H.P. Analyse non linéaire
Similarity: