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A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES

Pham, Huyên; Tankov, Peter - In: Mathematical Finance 18 (2008) 4, pp. 613-627

Persistent link: https://www.econbiz.de/10005023767

Optimal consumption policies in illiquid markets

Cretarola, Alessandra; Gozzi, Fausto; Pham, Huyên; … - In: Finance and stochastics 15 (2011) 1, pp. 85-116

Persistent link: https://www.econbiz.de/10008785538

Optimal consumption policies in illiquid markets

Cretarola, Alessandra; Gozzi, Fausto; Pham, Huyên; … - In: Finance and Stochastics 15 (2011) 1, pp. 85-115

Persistent link: https://www.econbiz.de/10008925433

Optimal consumption policies in illiquid markets

Cretarola, Alessandra; Gozzi, Fausto; Pham, Huyên; … - HAL - 2008

We investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness results for the value functions of the portfolio/consumption choice problem. As an important consequence, we can prove the existence of the...

Persistent link: https://www.econbiz.de/10008793691

A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES

Pham, Huyên; Tankov, Peter - In: Mathematical finance : an international journal of … 18 (2008) 4, pp. 613-628

Persistent link: https://www.econbiz.de/10008103928

Maintenance and Degradation Modeling - An Inspection-Maintenance Model for Systems With Multiple Competing Processes

Li, W.; Pham, H. - In: IEEE transactions on reliability : R ; IEEE T R 54 (2005) 2, pp. 318-327

Persistent link: https://www.econbiz.de/10006606825

Maintenance and Degradation Modeling - Reliability Modeling of Multi-State Degraded Systems With Multi-Competing Failures and Random Shocks

Li, W.; Pham, H. - In: IEEE transactions on reliability : R ; IEEE T R 54 (2005) 2, pp. 297-303

Persistent link: https://www.econbiz.de/10006606828

Network and Systems Reliability - Optimal Design of k-out-of-n:G Subsystems Subjected to Imperfect Fault-Coverage

Amari, S.V.; Pham, H.; Dill, G. - In: IEEE transactions on reliability : R ; IEEE T R 53 (2004) 4, pp. 567-575

Persistent link: https://www.econbiz.de/10006608358

Systems Reliability - Discounted Warranty Cost of Minimally Repaired Series Systems

Bai, J.; Pham, H. - In: IEEE transactions on reliability : R ; IEEE T R 53 (2004) 1, pp. 37-42

Persistent link: https://www.econbiz.de/10006610396

System or Network Reliability - Reliability Modeling of Hardware and Software Interactions, and Its Applications

Teng, X.; Pham, H.; Jeske, D.R. - In: IEEE transactions on reliability : R ; IEEE T R 55 (2006) 4, pp. 571-577

Persistent link: https://www.econbiz.de/10007388287

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