This paper deals with forward performances of HARA type. Precisely, for a market model in which stock price processes are modeled by a locally bounded $d$-dimensional semimartingale, we elaborate a complete and explicit characterization for this type of forward utilities. Furthermore, the...

This paper completes the two studies undertaken in \cite{aksamit/choulli/deng/jeanblanc2} and \cite{aksamit/choulli/deng/jeanblanc3}, where the authors quantify the impact of a random time on the No-Unbounded-Risk-with-Bounded-Profit concept (called NUPBR hereafter) when the stock price...

It has been understood that the ``local" existence of the Markowitz' optimal portfolio or the solution to the local risk minimization problem is guaranteed by some specific mathematical structures on the underlying assets price processes (called ``Structure Conditions" in the literature). In...

This paper addresses the question of non-arbitrage (precisely No-Unbounded-Profit-with-Bounded-Risk, NUPBR hereafter) after a specific random time. This study completes the one of Aksamit et al. \cite{aksamit/choulli/deng/jeanblanc}, devoted to the study before the random time, by elaborating...

This paper addresses the question of how an arbitrage-free semimartingale model is affected when stopped at a random horizon. We focus on No-Unbounded-Profit-with-Bounded-Risk (called NUPBR hereafter) concept, which is also known in the literature as the first kind of non-arbitrage. For this...

This paper focuses on the stability of the non-arbitrage condition in discrete time market models when some unknown information $\tau$ is partially/fully incorporated into the market. Our main conclusions are twofold. On the one hand, for a fixed market $S$, we prove that the non-arbitrage...

This paper completes the analysis of Choulli et al. Non-Arbitrage up to Random Horizons and after Honest Times for Semimartingale Models and contains two principal contributions. The first contribution consists in providing and analysing many practical examples of market models that admit...

We study a model of a corporation which has the possibility to choose various production/business policies with different expected profits and risks. In the model there are restrictions on the dividend distribution rates as well as restrictions on the risk the company can undertake. The...

The harm of marine debris (MD) to the environment and human beings has been paid more and more attention. At present, the most effective way to collect macro-MD floating on the sea is to send vessels. Our research framework is to use remote sensing to locate the initial location of debris,...

An equivalent !-martingale measure (E!MM) for a given stochastic process Sis a probability measure R equivalent to the original measure P such that S isan R-!-martingale. Existence of an E!MM is equivalent to a classical absenceof-arbitrage property of S, and is invariant if we replace the...