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...

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...

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...

This paper solves a general continuous-time single-agent consumption and portfolio decision problem with subsistence consumption in closed form. The analysis allows for general continuously differentiable concave utility functions. The model takes into consideration that consumption must be no...

I INTRODUCTION -- II DISCOUNTED COST MODELS -- Discounted Cost Models with Backorders -- Discount Cost Models with Polynomially Growing Surplus Cost -- Discounted Cost Models with Lost Sales -- III AVERAGE COST MODELS -- Average Cost Models with Backorders -- Average Cost Models with...