Works matching IS 09492984 AND DT 2021 AND VI 25 AND IP 2
Results: 7
Change of drift in one-dimensional diffusions.
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- Finance & Stochastics, 2021, v. 25, n. 2, p. 359, doi. 10.1007/s00780-021-00451-w
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Infinite-dimensional polynomial processes.
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- Finance & Stochastics, 2021, v. 25, n. 2, p. 383, doi. 10.1007/s00780-021-00450-x
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- Article
Equilibrium asset pricing with transaction costs.
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- Finance & Stochastics, 2021, v. 25, n. 2, p. 231, doi. 10.1007/s00780-021-00449-4
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Concavity, stochastic utility, and risk aversion.
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- Finance & Stochastics, 2021, v. 25, n. 2, p. 311, doi. 10.1007/s00780-021-00448-5
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- Article
Evolution of the Arrow–Pratt measure of risk-tolerance for predictable forward utility processes.
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- Finance & Stochastics, 2021, v. 25, n. 2, p. 331, doi. 10.1007/s00780-020-00444-1
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- Article
Markov decision processes with quasi-hyperbolic discounting.
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- Finance & Stochastics, 2021, v. 25, n. 2, p. 189, doi. 10.1007/s00780-020-00443-2
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- Article
High-frequency trading with fractional Brownian motion.
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- Finance & Stochastics, 2021, v. 25, n. 2, p. 277, doi. 10.1007/s00780-020-00439-y
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- Article