For certain subordinators (Xt)t≥0 it is shown that the process (−tlogXts)s0 tends to an extremal process (η̂s)s0 in the sense of convergence of the finite dimensional distributions. Additionally it is also shown that (z∧(−tlogXts))s≥0 converges weakly to (z∧η̂s)s≥0 in D[0,∞),...

The paper generalizes and refines the Fundamental Theorem of Asset Pricing of Dalang, Morton and Willinger in the following two respects: (a) the result is extended to a model with portfolio constraints; (b) versions of the no-arbitrage criterion based on the bang-bang principle in control...

The current paper presents a short survey of stochastic models of risk control and dividend optimization techniques for a financial corporation. While being close to consumption/investment models of Mathematical Finance, dividend optimization models possess special features which do not allow...

In the recent work of Dempster, Evstigneev and Taksar (2006) it has been shown that the von Neumann-Gale model of economic dynamics can serve as a convenient and natural framework for the analysis of questions of asset pricing and hedging under transaction costs. The present article focuses on a...