Working Paper |
File Downloads |
Abstract Views |

Last month |
3 months |
12 months |
Total |
Last month |
3 months |
12 months |
Total |

A Limit Theorem for Financial Markets with Inert Investors |
0 |
0 |
0 |
7 |
0 |
0 |
2 |
43 |

A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance |
0 |
0 |
1 |
4 |
1 |
1 |
2 |
25 |

A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
32 |

A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
23 |

A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays |
0 |
0 |
0 |
6 |
0 |
0 |
4 |
33 |

A note on the Fundamental Theorem of Asset Pricing under model uncertainty |
0 |
0 |
0 |
4 |
2 |
3 |
16 |
32 |

A rank based mean field game in the strong formulation |
0 |
0 |
1 |
13 |
1 |
1 |
3 |
8 |

An $\alpha$-stable limit theorem under sublinear expectation |
0 |
0 |
0 |
7 |
1 |
1 |
4 |
29 |

Arbitrage, hedging and utility maximization using semi-static trading strategies with American options |
0 |
0 |
0 |
14 |
0 |
0 |
2 |
37 |

Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case |
0 |
0 |
0 |
0 |
2 |
3 |
14 |
18 |

Comparing the $G$-Normal Distribution to its Classical Counterpart |
0 |
0 |
0 |
4 |
2 |
2 |
6 |
24 |

Consistency Problems For Jump-Diffusion Models |
0 |
0 |
0 |
347 |
0 |
0 |
5 |
890 |

Continuity of Utility Maximization under Weak Convergence |
0 |
0 |
0 |
12 |
2 |
3 |
10 |
17 |

Correspondence between Lifetime Minimum Wealth and Utility of Consumption |
0 |
0 |
0 |
6 |
0 |
1 |
1 |
36 |

Distribution-Constrained Optimal Stopping |
0 |
0 |
1 |
4 |
1 |
1 |
3 |
14 |

Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
10 |

Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis |
0 |
0 |
0 |
38 |
0 |
0 |
4 |
145 |

Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs |
0 |
0 |
4 |
4 |
1 |
1 |
2 |
2 |

Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty |
0 |
0 |
0 |
4 |
1 |
1 |
6 |
39 |

High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering |
0 |
0 |
0 |
30 |
1 |
1 |
9 |
22 |

Inventory Management with Partially Observed Nonstationary Demand |
0 |
0 |
0 |
6 |
0 |
0 |
6 |
37 |

Life Insurance Purchasing to Maximize Utility of Household Consumption |
0 |
0 |
1 |
21 |
1 |
1 |
6 |
51 |

Liquidation in Limit Order Books with Controlled Intensity |
0 |
0 |
0 |
9 |
0 |
0 |
5 |
95 |

Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin |
0 |
0 |
0 |
21 |
1 |
1 |
3 |
40 |

Mini-Flash Crashes, Model Risk, and Optimal Execution |
0 |
0 |
0 |
21 |
2 |
3 |
16 |
25 |

Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption |
1 |
1 |
1 |
8 |
1 |
1 |
5 |
21 |

Minimizing the Lifetime Shortfall or Shortfall at Death |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
17 |

Minimizing the Probability of Lifetime Drawdown under Constant Consumption |
0 |
0 |
0 |
2 |
2 |
2 |
7 |
24 |

Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
17 |

Minimizing the Probability of Lifetime Ruin under Borrowing Constraints |
0 |
0 |
0 |
18 |
0 |
1 |
3 |
71 |

Minimizing the Probability of Lifetime Ruin under Stochastic Volatility |
0 |
0 |
0 |
14 |
1 |
1 |
3 |
89 |

Minimizing the Probability of Ruin when Consumption is Ratcheted |
0 |
0 |
0 |
10 |
1 |
1 |
4 |
46 |

Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin |
0 |
0 |
0 |
9 |
0 |
1 |
3 |
29 |

No Arbitrage Conditions For Simple Trading Strategies |
0 |
0 |
0 |
21 |
0 |
0 |
2 |
97 |

No-arbitrage and hedging with liquid American options |
0 |
0 |
0 |
6 |
0 |
0 |
4 |
14 |

On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
13 |

On Zero-sum Optimal Stopping Games |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
16 |

On a Stopping Game in continuous time |
0 |
0 |
0 |
36 |
1 |
2 |
4 |
15 |

On an Optimal Stopping Problem of an Insider |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
17 |

On controller-stopper problems with jumps and their applications to indifference pricing of American options |
0 |
0 |
0 |
0 |
1 |
1 |
2 |
59 |

On hedging American options under model uncertainty |
0 |
0 |
0 |
5 |
0 |
0 |
2 |
23 |

On model-independent pricing/hedging using shortfall risk and quantiles |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
16 |

On non-uniqueness in mean field games |
0 |
0 |
7 |
7 |
2 |
4 |
12 |
13 |

On optimal dividends in the dual model |
0 |
1 |
1 |
19 |
1 |
3 |
3 |
24 |

On the Existence of Consistent Price Systems |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
84 |

On the Market Viability under Proportional Transaction Costs |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
21 |

On the Multi-Dimensional Controller and Stopper Games |
0 |
1 |
1 |
15 |
0 |
1 |
2 |
46 |

On the Notions of Equilibria for Time-Inconsistent Stopping Problems in Continuous Time |
0 |
0 |
7 |
7 |
0 |
0 |
5 |
5 |

On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps |
0 |
0 |
0 |
8 |
0 |
0 |
4 |
35 |

On the Robust Dynkin Game |
0 |
0 |
0 |
16 |
1 |
1 |
1 |
15 |

On the Robust Optimal Stopping Problem |
0 |
0 |
1 |
13 |
0 |
0 |
3 |
44 |

On the Stability of Utility Maximization Problems |
0 |
0 |
0 |
14 |
0 |
0 |
1 |
31 |

On the Stickiness Property |
0 |
0 |
0 |
7 |
1 |
2 |
34 |
115 |

On the quasi-sure superhedging duality with frictions |
0 |
0 |
0 |
1 |
0 |
0 |
8 |
10 |

On the uniqueness of classical solutions of Cauchy problems |
0 |
0 |
0 |
16 |
2 |
2 |
8 |
74 |

On utility maximization with derivatives under model uncertainty |
0 |
0 |
0 |
15 |
1 |
1 |
4 |
30 |

Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin |
0 |
0 |
0 |
7 |
0 |
0 |
2 |
60 |

Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates |
0 |
1 |
1 |
7 |
1 |
2 |
9 |
13 |

Optimal Investment Strategy to Minimize Occupation Time |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
36 |

Optimal Investment to Minimize the Probability of Drawdown |
1 |
1 |
1 |
11 |
2 |
2 |
11 |
37 |

Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices |
0 |
0 |
0 |
8 |
0 |
0 |
4 |
26 |

Optimal Stopping for Dynamic Convex Risk Measures |
0 |
0 |
0 |
16 |
0 |
0 |
2 |
38 |

Optimal Stopping for Non-linear Expectations |
0 |
1 |
1 |
11 |
1 |
2 |
6 |
29 |

Optimal Stopping with Random Maturity under Nonlinear Expectations |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
12 |

Optimal Time to Change Premiums |
0 |
0 |
0 |
1 |
0 |
0 |
6 |
18 |

Optimal Trade Execution in Illiquid Markets |
0 |
0 |
1 |
23 |
0 |
0 |
4 |
58 |

Optimally Investing to Reach a Bequest Goal |
0 |
0 |
0 |
13 |
2 |
2 |
4 |
35 |

Optimizing Venture Capital Investments in a Jump Diffusion Model |
0 |
0 |
1 |
15 |
1 |
1 |
5 |
52 |

Outperforming the market portfolio with a given probability |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
67 |

Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio |
0 |
0 |
0 |
17 |
0 |
0 |
2 |
59 |

Projecting the Forward Rate Flow on a Finite Dimensional Manifold |
0 |
0 |
0 |
140 |
2 |
2 |
7 |
379 |

Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control |
0 |
0 |
0 |
6 |
0 |
0 |
4 |
49 |

Purchasing Life Insurance to Reach a Bequest Goal |
0 |
0 |
0 |
12 |
1 |
1 |
3 |
23 |

Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming |
0 |
0 |
1 |
23 |
0 |
0 |
3 |
16 |

Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case |
0 |
0 |
0 |
35 |
0 |
0 |
3 |
16 |

Quadratic Reflected BSDEs with Unbounded Obstacles |
0 |
0 |
0 |
7 |
0 |
0 |
2 |
44 |

Quantile Hedging in a Semi-Static Market with Model Uncertainty |
0 |
0 |
1 |
24 |
0 |
0 |
5 |
22 |

Queueing Theoretic Approaches to Financial Price Fluctuations |
0 |
0 |
0 |
20 |
0 |
0 |
4 |
55 |

Regularity of the Optimal Stopping Problem for Jump Diffusions |
0 |
0 |
0 |
15 |
1 |
1 |
1 |
63 |

Risk Sensitive Control of the Lifetime Ruin Problem |
0 |
0 |
0 |
2 |
0 |
0 |
1 |
16 |

Robust maximization of asymptotic growth under covariance uncertainty |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
30 |

Stability of exponential utility maximization with respect to market perturbations |
0 |
0 |
0 |
11 |
0 |
0 |
4 |
82 |

Stochastic Perron for Stochastic Target Problems |
0 |
0 |
0 |
3 |
0 |
0 |
1 |
12 |

Stochastic Perron for stochastic target games |
0 |
0 |
0 |
20 |
1 |
1 |
6 |
18 |

Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
15 |

Strict Local Martingale Deflators and Pricing American Call-Type Options |
0 |
0 |
0 |
13 |
1 |
1 |
2 |
54 |

Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty |
0 |
0 |
0 |
6 |
1 |
2 |
10 |
24 |

The Effects of Implementation Delay on Decision-Making Under Uncertainty |
0 |
0 |
1 |
12 |
0 |
2 |
13 |
88 |

Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case |
0 |
0 |
0 |
9 |
1 |
1 |
7 |
12 |

Transport plans with domain constraints |
0 |
0 |
0 |
2 |
2 |
3 |
8 |
20 |

Valuation equations for stochastic volatility models |
0 |
0 |
0 |
27 |
0 |
0 |
2 |
72 |

Valuation equations for stochastic volatility models |
0 |
0 |
1 |
1 |
0 |
0 |
2 |
8 |

Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities |
0 |
0 |
0 |
19 |
0 |
2 |
7 |
64 |

Weak reflection principle for L\'evy processes |
0 |
0 |
0 |
18 |
0 |
0 |
2 |
19 |

Total Working Papers |
2 |
6 |
35 |
1,528 |
51 |
73 |
415 |
4,599 |