Zobrazeno 1 - 10
of 181
pro vyhledávání: '"Hobson, David P"'
Autor:
Hobson, David G, Komeili, Majid
Blindness and visual impairments affect many people worldwide. For help with navigation, people with visual impairments often rely on tactile maps that utilize raised surfaces and edges to convey information through touch. Although these maps are hel
Externí odkaz:
http://arxiv.org/abs/2412.07191
Zero-sum Dynkin games under the Poisson constraint have been studied widely in the recent literature. In such a game the players are only allowed to stop at the event times of a Poisson process. The constraint can be modelled in two different ways: e
Externí odkaz:
http://arxiv.org/abs/2411.07134
The Merton investment-consumption problem is fundamental, both in the field of finance, and in stochastic control. An important extension of the problem adds transaction costs, which is highly relevant from a financial perspective but also challengin
Externí odkaz:
http://arxiv.org/abs/2402.08387
Autor:
Hobson, David, Norgilas, Dominykas
We give an injective martingale coupling; in particular, given measures $\mu$ and $\nu$ in convex order on $\mathbb{R}$ such that $\nu$ is continuous, we construct a martingale coupling $\pi$ of the two measures with disintegration $\pi(dx,dy) = \pi_
Externí odkaz:
http://arxiv.org/abs/2303.01578
In this article, we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein--Zin stochastic differential utility (EZ-SDU) who invests in a constant-parameter Black-Scholes-Merton market over the infinite
Externí odkaz:
http://arxiv.org/abs/2112.06708
This paper investigates the callable convertible bond problem in the presence of a liquidity constraint modelled by Poisson signals. We assume that neither the bondholder nor the firm has absolute priority when they stop the game simultaneously, but
Externí odkaz:
http://arxiv.org/abs/2111.02554
In this article we consider the optimal investment-consumption problem for an agent with preferences governed by Epstein-Zin stochastic differential utility who invests in a constant-parameter Black-Scholes-Merton market. The paper has three main goa
Externí odkaz:
http://arxiv.org/abs/2107.06593
Autor:
Hobson, David, Norgilas, Dominykas
In a martingale optimal transport (MOT) problem mass distributed according to the law $\mu$ is transported to the law $\nu$ in such a way that the martingale property is respected. Beiglb\"ock and Juillet (On a problem of optimal transport under marg
Externí odkaz:
http://arxiv.org/abs/2102.10549
It is well known that given two probability measures $\mu$ and $\nu$ on $\mathbb{R}$ in convex order there exists a discrete-time martingale with these marginals. Several solutions are known (for example from the literature on the Skorokhod embedding
Externí odkaz:
http://arxiv.org/abs/2008.09936
In this article we consider the infinite-horizon Merton investment-consumption problem in a constant-parameter Black - Scholes - Merton market for an agent with constant relative risk aversion R. The classical primal approach is to write down a candi
Externí odkaz:
http://arxiv.org/abs/2006.05260