We consider a portfolio optimization problem in a Black-Scholes model with n stocks, in which an investor faces both fixed and proportional transaction costs. The performance of an investment strategy is measured by the average return of the corresponding portfolio over an infinite time horizon....

Markov chains have experienced a surge of economic interest in the form of behavioral agent-based models that aim at explaining the statistical regularities of financial returns. We review some of the relevant mathematical facts and show how they apply to agent-based herding models, with the...

We argue that the complex interactions of competitive heterogeneous firms lead to a statistical equilibrium distribution of firms? profit rates, which turns out to be an exponential power (or Subbotin) distribution. Moreover, we construct a diffusion process that has the Subbotin distribution as...

The principles of smooth and continuous pasting play an important role in the study of optimal stopping problems with jump processes. These principles state that the optimal stopping boundary is selected so that the value function is smooth and continuous, respectively (depending on the behavior...

In the standard models for optimal multiple stopping problems it is assumed that between two exercises there is always a time period of deterministic length $\delta$, the so called refraction period. This prevents the optimal exercise times from bunching up together on top of the optimal...

Markov chains have experienced a surge of economic interest in the form of behavioral agent-based models that aim at explaining the statistical regularities of financial returns. We review some of the relevant mathematical facts and show how they apply to agent-based herding models, with the...

We find that the empirical density of firm profit rates, measured as returns on assets, is markedly non-Gaussian and reasonably well described by an exponential power (or Subbotin) distribution. We start from a statistical equilibrium model that leads to a stationary Subbotin density in the...

Because of large economic and environmental asymmetries among world regions and the incentive to free ride, an international climate Regime with broad participation is hard to reach. Most of the so far proposed Regimes base on an allocation of emission rights that is to be perceived as fair....