Discrete bidding games.
Dynamic programming for an investment/consumption problem in illiquid markets with regime-switching
We consider an illiquid financial market with different regimes modeled by a continuous time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the market regime. Moreover, the risky asset price is subject to liquidity shocks, which change its rate of return and volatility, and induce jumps on its dynamics. In this setting, we study the problem of an economic agent optimizing her expected utility from consumption...