37 research outputs found
Michael Taksar Interview
No full textNOTE: to view these items please visit http://dynkincollection.library.cornell.eduInterview conducted by Eugene Dynkin with Michael I. Taksar on August 22, 1979. Interview is in two parts
On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria
No full textThe paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based on the bang-bang principle in control theory are developed.no arbitrage criteria, portfolio constraints, supermartingale measures, bang-bang control
Optimal Consumption and Investment Policies with Bankruptcy Modelled by a Diffusion with Delayed Reflection
No full textStochastic equilibria on graphs
No full textSIGLEAvailable from Bibliothek des Instituts fuer Weltwirtschaft, ZBW, Duesternbrook Weg 120, D-24105 Kiel / FIZ - Fachinformationszzentrum Karlsruhe / TIB - Technische InformationsbibliothekDEGerman
Storage model with discontinuous holding cost
No full textWe consider a Brownian storage system with stepwise holding cost and linear cost of disposal. There are no limits on the rate of disposal. We seek a policy which minimizes total discounted cost on an infinite interval. It is proved that the optimal policy is characterized by two points: one is a reflecting barrier, the second is a point of instantaneous displacement. When the process reaches the second point it must be instantly moved to the first point and kept below the first point with minimal efforts thereafter.
