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On the fundamental theorem of asset pricing : random constraints and bang-bang no-arbitrage criteria

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On the fundamental theorem of asset pricing: random constraints and bang-bang no-arbitrage criteria

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Value preserving strategies and a general framework for local approaches to optimal portfolios

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A better budget rule

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A Better Budget Rule

Dothan, Michael U.; Thompson, Fred - 2009

During recessions, the newspapers are filled with stories of the pain caused by state and local budget cuts: slashed mental health funding, reductions in school meals, further delays in long-overdue infrastructure maintenance and replacement, and new taxes. During booms, they are filled stories...

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Optimal investment strategies under affine Markov-switching models : theory, examples and implementation

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diffusion processes and by a Markov chain. Based on the semimartingale characterization of Markov chains we apply the Hamilton …

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Optimal exchange rates management using stochastic impulse control for geometric Lévy processes

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Classical and restricted impulse control for the exchange rate under a stochastic trend model

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Classical and impulse stochastic control of the exchange rate using interest rates and reserves

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