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12 months |
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A Limit Theorem for Financial Markets with Inert Investors |
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0 |
0 |
7 |
0 |
0 |
0 |
48 |

A Note on Applications of Stochastic Ordering to Control Problems in Insurance and Finance |
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0 |
0 |
4 |
0 |
0 |
1 |
28 |

A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios |
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0 |
0 |
2 |
0 |
0 |
1 |
5 |

A Proof of the Smoothness of the Finite Time Horizon American Put Option for Jump Diffusions |
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0 |
0 |
10 |
0 |
0 |
0 |
37 |

A Stochastic Approximation for Fully Nonlinear Free Boundary Parabolic Problems |
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0 |
0 |
6 |
0 |
0 |
0 |
25 |

A Unified Treatment of Dividend Payment Problems under Fixed Cost and Implementation Delays |
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6 |
0 |
0 |
0 |
35 |

A note on the Fundamental Theorem of Asset Pricing under model uncertainty |
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0 |
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4 |
0 |
0 |
0 |
35 |

A rank based mean field game in the strong formulation |
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13 |
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0 |
0 |
10 |

An $\alpha$-stable limit theorem under sublinear expectation |
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0 |
0 |
8 |
0 |
0 |
0 |
32 |

Arbitrage theory in a market of stochastic dimension |
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1 |
2 |
0 |
0 |
2 |
4 |

Arbitrage, hedging and utility maximization using semi-static trading strategies with American options |
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0 |
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14 |
0 |
0 |
0 |
38 |

Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case |
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0 |
0 |
0 |
0 |
0 |
0 |
21 |

Comparing the $G$-Normal Distribution to its Classical Counterpart |
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0 |
0 |
4 |
1 |
1 |
2 |
29 |

Consistency Problems For Jump-Diffusion Models |
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0 |
0 |
347 |
0 |
0 |
2 |
895 |

Continuity of Utility Maximization under Weak Convergence |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
24 |

Correspondence between Lifetime Minimum Wealth and Utility of Consumption |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
40 |

Data-Driven Nonparametric Robust Control under Dependence Uncertainty |
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0 |
0 |
1 |
0 |
0 |
0 |
5 |

Deep Signature Algorithm for Multi-dimensional Path-Dependent Options |
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0 |
1 |
6 |
0 |
0 |
6 |
7 |

Distribution-Constrained Optimal Stopping |
0 |
0 |
0 |
4 |
0 |
0 |
1 |
16 |

Doubly Reflected BSDEs with Integrable Parameters and Related Dynkin Games |
0 |
0 |
0 |
5 |
0 |
0 |
1 |
13 |

Equilibria of Time-inconsistent Stopping for One-dimensional Diffusion Processes |
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0 |
0 |
2 |
1 |
1 |
3 |
7 |

Equilibrium concepts for time-inconsistent stopping problems in continuous time |
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0 |
0 |
9 |
0 |
0 |
0 |
17 |

Estimating the Fractal Dimension of the S&P 500 Index using Wavelet Analysis |
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0 |
0 |
41 |
1 |
1 |
1 |
155 |

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

Fitted Value Iteration Methods for Bicausal Optimal Transport |
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0 |
2 |
2 |
0 |
2 |
6 |
6 |

Fundamental Theorem of Asset Pricing under Transaction costs and Model uncertainty |
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0 |
0 |
4 |
0 |
0 |
0 |
42 |

High-Roller Impact: A Large Generalized Game Model of Parimutuel Wagering |
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0 |
0 |
31 |
0 |
1 |
1 |
33 |

Inventory Management with Partially Observed Nonstationary Demand |
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0 |
0 |
6 |
0 |
0 |
2 |
44 |

Life Insurance Purchasing to Maximize Utility of Household Consumption |
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0 |
0 |
22 |
1 |
2 |
4 |
61 |

Liquidation in Limit Order Books with Controlled Intensity |
0 |
0 |
0 |
9 |
0 |
0 |
0 |
104 |

Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin |
0 |
0 |
0 |
22 |
0 |
0 |
0 |
43 |

McKean-Vlasov equations involving hitting times: blow-ups and global solvability |
0 |
0 |
1 |
3 |
0 |
1 |
3 |
15 |

Mini-Flash Crashes, Model Risk, and Optimal Execution |
0 |
0 |
0 |
22 |
0 |
0 |
2 |
36 |

Minimizing the Expected Lifetime Spent in Drawdown under Proportional Consumption |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
27 |

Minimizing the Lifetime Shortfall or Shortfall at Death |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
20 |

Minimizing the Probability of Lifetime Drawdown under Constant Consumption |
0 |
0 |
0 |
2 |
0 |
1 |
1 |
27 |

Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion |
0 |
0 |
1 |
8 |
0 |
0 |
1 |
20 |

Minimizing the Probability of Lifetime Ruin under Borrowing Constraints |
0 |
0 |
1 |
19 |
1 |
1 |
2 |
74 |

Minimizing the Probability of Lifetime Ruin under Stochastic Volatility |
0 |
0 |
0 |
14 |
0 |
0 |
1 |
94 |

Minimizing the Probability of Ruin when Consumption is Ratcheted |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
48 |

Mutual Fund Theorems when Minimizing the Probability of Lifetime Ruin |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
31 |

No Arbitrage Conditions For Simple Trading Strategies |
0 |
0 |
0 |
21 |
0 |
0 |
1 |
103 |

No-arbitrage and hedging with liquid American options |
0 |
0 |
0 |
7 |
0 |
0 |
0 |
16 |

Nonparametric Adaptive Robust Control Under Model Uncertainty |
0 |
0 |
1 |
13 |
0 |
0 |
1 |
4 |

On Arbitrage and Duality under Model Uncertainty and Portfolio Constraints |
0 |
0 |
1 |
4 |
0 |
0 |
1 |
15 |

On Zero-sum Optimal Stopping Games |
0 |
0 |
0 |
19 |
0 |
0 |
0 |
20 |

On a Stopping Game in continuous time |
0 |
0 |
0 |
38 |
0 |
0 |
0 |
17 |

On an Optimal Stopping Problem of an Insider |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
20 |

On controller-stopper problems with jumps and their applications to indifference pricing of American options |
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0 |
0 |
0 |
0 |
0 |
0 |
62 |

On hedging American options under model uncertainty |
0 |
0 |
0 |
5 |
0 |
0 |
0 |
25 |

On model-independent pricing/hedging using shortfall risk and quantiles |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
21 |

On non-uniqueness in mean field games |
0 |
0 |
0 |
14 |
0 |
0 |
2 |
31 |

On optimal dividends in the dual model |
0 |
0 |
0 |
19 |
0 |
1 |
1 |
29 |

On the Continuity of the Root Barrier |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
14 |

On the Existence of Consistent Price Systems |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
91 |

On the Market Viability under Proportional Transaction Costs |
0 |
0 |
1 |
14 |
0 |
0 |
1 |
28 |

On the Multi-Dimensional Controller and Stopper Games |
0 |
0 |
0 |
17 |
0 |
0 |
0 |
57 |

On the Perpetual American Put Options for Level Dependent Volatility Models with Jumps |
0 |
0 |
0 |
9 |
0 |
0 |
1 |
41 |

On the Robust Dynkin Game |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
20 |

On the Robust Optimal Stopping Problem |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
48 |

On the Stability of Utility Maximization Problems |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
35 |

On the Stickiness Property |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
123 |

On the quasi-sure superhedging duality with frictions |
0 |
0 |
0 |
2 |
0 |
0 |
3 |
21 |

On the uniqueness of classical solutions of Cauchy problems |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
76 |

On utility maximization with derivatives under model uncertainty |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
32 |

Optimal Consumption under a Habit-Formation Constraint: the Deterministic Case |
2 |
3 |
4 |
8 |
2 |
3 |
7 |
24 |

Optimal Deferred Life Annuities to Minimize the Probability of Lifetime Ruin |
0 |
0 |
2 |
9 |
0 |
0 |
3 |
63 |

Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates |
0 |
0 |
0 |
8 |
0 |
0 |
1 |
21 |

Optimal Investment Strategy to Minimize Occupation Time |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
39 |

Optimal Investment and Consumption under a Habit-Formation Constraint |
0 |
0 |
0 |
3 |
0 |
0 |
5 |
19 |

Optimal Investment to Minimize the Probability of Drawdown |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
42 |

Optimal Investment with Random Endowments and Transaction Costs: Duality Theory and Shadow Prices |
0 |
0 |
0 |
8 |
0 |
0 |
0 |
32 |

Optimal Stopping for Dynamic Convex Risk Measures |
0 |
0 |
0 |
16 |
0 |
0 |
0 |
39 |

Optimal Stopping for Non-linear Expectations |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
30 |

Optimal Stopping with Random Maturity under Nonlinear Expectations |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
13 |

Optimal Time to Change Premiums |
0 |
0 |
0 |
1 |
0 |
0 |
1 |
20 |

Optimal Trade Execution in Illiquid Markets |
0 |
0 |
0 |
24 |
0 |
0 |
2 |
62 |

Optimally Investing to Reach a Bequest Goal |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
41 |

Optimizing Venture Capital Investments in a Jump Diffusion Model |
0 |
0 |
0 |
15 |
0 |
0 |
0 |
56 |

Outperforming the market portfolio with a given probability |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
68 |

Pricing Options in Incomplete Equity Markets via the Instantaneous Sharpe Ratio |
0 |
0 |
0 |
18 |
0 |
0 |
0 |
64 |

Projecting the Forward Rate Flow on a Finite Dimensional Manifold |
0 |
0 |
0 |
140 |
0 |
0 |
0 |
385 |

Proving Regularity of the Minimal Probability of Ruin via a Game of Stopping and Control |
0 |
0 |
0 |
6 |
0 |
0 |
1 |
86 |

Purchasing Life Insurance to Reach a Bequest Goal |
0 |
0 |
0 |
13 |
0 |
0 |
0 |
26 |

Purchasing Term Life Insurance to Reach a Bequest Goal while Consuming |
0 |
0 |
0 |
24 |
0 |
0 |
1 |
24 |

Purchasing Term Life Insurance to Reach a Bequest Goal: Time-Dependent Case |
0 |
0 |
0 |
35 |
0 |
0 |
0 |
20 |

Quadratic Reflected BSDEs with Unbounded Obstacles |
0 |
0 |
0 |
10 |
0 |
0 |
0 |
54 |

Quantifying dimensional change in stochastic portfolio theory |
0 |
0 |
0 |
0 |
0 |
0 |
2 |
2 |

Quantile Hedging in a Semi-Static Market with Model Uncertainty |
0 |
0 |
1 |
25 |
0 |
0 |
1 |
26 |

Queueing Theoretic Approaches to Financial Price Fluctuations |
0 |
0 |
0 |
21 |
0 |
0 |
1 |
63 |

Regularity of the Optimal Stopping Problem for Jump Diffusions |
0 |
0 |
1 |
16 |
0 |
0 |
1 |
65 |

Risk Sensitive Control of the Lifetime Ruin Problem |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
18 |

Robust maximization of asymptotic growth under covariance uncertainty |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
33 |

Stability of exponential utility maximization with respect to market perturbations |
0 |
0 |
0 |
11 |
0 |
0 |
0 |
88 |

Stochastic Perron for Stochastic Target Problems |
0 |
0 |
0 |
3 |
0 |
0 |
0 |
13 |

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

Stochastic Perron's Method for the Probability of lifetime ruin problem under transaction costs |
0 |
0 |
0 |
7 |
0 |
0 |
1 |
21 |

Strict Local Martingale Deflators and Pricing American Call-Type Options |
0 |
0 |
0 |
13 |
0 |
0 |
1 |
58 |

Super-hedging American Options with Semi-static Trading Strategies under Model Uncertainty |
0 |
0 |
0 |
6 |
0 |
1 |
1 |
32 |

Supermartingale Brenier's Theorem with full-marginals constraint |
0 |
0 |
0 |
0 |
0 |
0 |
1 |
3 |

Systemic robustness: a mean-field particle system approach |
0 |
0 |
1 |
1 |
0 |
0 |
1 |
1 |

The Effects of Implementation Delay on Decision-Making Under Uncertainty |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
119 |

Time Consistent Stopping For The Mean-Standard Deviation Problem --- The Discrete Time Case |
0 |
0 |
0 |
12 |
0 |
0 |
0 |
21 |

Transport plans with domain constraints |
0 |
0 |
0 |
2 |
0 |
0 |
0 |
23 |

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

Valuation equations for stochastic volatility models |
0 |
0 |
0 |
1 |
0 |
0 |
0 |
10 |

Valuation of Mortality Risk via the Instantaneous Sharpe Ratio: Applications to Life Annuities |
0 |
0 |
0 |
21 |
0 |
0 |
0 |
88 |

Weak reflection principle for L\'evy processes |
0 |
0 |
0 |
18 |
0 |
0 |
1 |
23 |

Total Working Papers |
2 |
3 |
19 |
1,635 |
7 |
16 |
91 |
5,229 |