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pro vyhledávání: '"Cvitanić, Jakša"'
This paper solves a long-standing open problem in mathematical finance: to find a solution to the problem of maximizing utility from terminal wealth of an agent with a random endowment process, in the general, semimartingale model for incomplete mark
Externí odkaz:
http://epub.wu.ac.at/518/1/document.pdf
Akademický článek
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We consider a stochastic tournament game in which each player is rewarded based on her rank in terms of the completion time of her own task and is subject to cost of effort. When players are homogeneous and the rewards are purely rank dependent, the
Externí odkaz:
http://arxiv.org/abs/1811.00076
Publikováno v:
The Annals of Applied Probability, 2019 Dec 01. 29(6), 3695-3744.
Externí odkaz:
https://www.jstor.org/stable/26891091
We consider a general formulation of the Principal-Agent problem with a lump-sum payment on a finite horizon, providing a systematic method for solving such problems. Our approach is the following: we first find the contract that is optimal among tho
Externí odkaz:
http://arxiv.org/abs/1510.07111
We consider a contracting problem in which a principal hires an agent to manage a risky project. When the agent chooses volatility components of the output process and the principal observes the output continuously, the principal can compute the quad
Externí odkaz:
http://arxiv.org/abs/1406.5852
Publikováno v:
Annals of Applied Probability 2006, Vol. 16, No. 3, 1633-1652
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $S=(S_{t})_{t\geq0}$ is given by \[ dS_{t}=m(\theta_{t})S_{t} dt+v(\theta
Externí odkaz:
http://arxiv.org/abs/math/0612212
This paper is concerned with nonlinear filtering of the coefficients in asset price models with stochastic volatility. More specifically, we assume that the asset price process $ S=(S_{t})_{t\geq0} $ is given by \[ dS_{t}=r(\theta_{t})S_{t}dt+v(\thet
Externí odkaz:
http://arxiv.org/abs/math/0509503