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Original Articles

Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs

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Pages 517-569 | Published online: 29 Oct 2010

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Helge Holden & Lars Holden. (2013) Optimal rebalancing of portfolios with transaction costs. Stochastics 85:3, pages 371-394.
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Jonathan Bennett & Jiang-Lun Wu. (2008) An Optimal Control Problem Associated with SDEs Driven by Lévy-Type Processes. Stochastic Analysis and Applications 26:3, pages 471-494.
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Anna Lisa Amadori*Kenneth H. Karlsen†Claudia La Chioma. (2004) Non-linear degenerate integro-partial differential evolution equations related to geometric Lévy processes and applications to backward stochastic differential equations. Stochastics and Stochastic Reports 76:2, pages 147-177.
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Mohammad Safdari. (2023) Nonlocal equations with gradient constraints. Calculus of Variations and Partial Differential Equations 62:7.
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Adama Ouédraogo, Dofyniwassouani Alain Houede & Idrissa Ibrango. (2021) Renormalized solutions for convection-diffusion problems involving a nonlocal operator. Nonlinear Differential Equations and Applications NoDEA 28:5.
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Hansjörg Albrecher, Pablo Azcue & Nora Muler. (2020) Optimal Ratcheting of Dividends in Insurance. SIAM Journal on Control and Optimization 58:4, pages 1822-1845.
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Dimitri De Vallière, Yuri Kabanov & Emmanuel Lépinette. (2016) Consumption-investment problem with transaction costs for Lévy-driven price processes. Finance and Stochastics 20:3, pages 705-740.
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Lin Xu, Hao Wang & Dingjun Yao. (2015) Optimal Investment and Consumption for an Insurer with High-Watermark Performance Fee. Mathematical Problems in Engineering 2015, pages 1-14.
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João Amaro de Matos & Nuno Silva. (2014) Consuming durable goods when stock markets jump: A strategic asset allocation approach. Journal of Economic Dynamics and Control 42, pages 86-104.
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Andrzej Świe̢ch & Jerzy Zabczyk. (2011) Uniqueness for Integro-PDE in Hilbert Spaces. Potential Analysis 38:1, pages 233-259.
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Yasushi Ishikawa. 2011. Stochastic Analysis with Financial Applications. Stochastic Analysis with Financial Applications 99 120 .
Pablo Azcue & Nora Muler. (2010) Optimal investment policy and dividend payment strategy in an insurance company. The Annals of Applied Probability 20:4.
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Imran H. Biswas, Espen R. Jakobsen & Kenneth H. Karlsen. (2009) Viscosity Solutions for a System of Integro-PDEs and Connections to Optimal Switching and Control of Jump-Diffusion Processes. Applied Mathematics and Optimization 62:1, pages 47-80.
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Fabio Camilli & Espen R. Jakobsen. (2009) A Finite Element Like Scheme for Integro-Partial Differential Hamilton–Jacobi–Bellman Equations. SIAM Journal on Numerical Analysis 47:4, pages 2407-2431.
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Espen R. Jakobsen, Kenneth H. Karlsen & Claudia La Chioma. (2008) Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions. Numerische Mathematik 110:2, pages 221-255.
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IMRAN H. BISWAS, ESPEN R. JAKOBSEN & KENNETH H. KARLSEN. (2011) ERROR ESTIMATES FOR A CLASS OF FINITE DIFFERENCE-QUADRATURE SCHEMES FOR FULLY NONLINEAR DEGENERATE PARABOLIC INTEGRO-PDES. Journal of Hyperbolic Differential Equations 05:01, pages 187-219.
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GIUSEPPE MARIA COCLITE & NILS HENRIK RISEBRO. (2011) VISCOSITY SOLUTIONS OF HAMILTON–JACOBI EQUATIONS WITH DISCONTINUOUS COEFFICIENTS. Journal of Hyperbolic Differential Equations 04:04, pages 771-795.
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Jonathan Bennett & Jiang-Lun Wu. (2007) Stochastic differential equations with polar-decomposed Lévy measures and applications to stochastic optimization. Frontiers of Mathematics in China 2:4, pages 539-558.
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Jérôme Droniou & Cyril Imbert. (2006) Fractal First-Order Partial Differential Equations. Archive for Rational Mechanics and Analysis 182:2, pages 299-331.
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Espen R. Jakobsen & Kenneth H. Karlsen. (2005) Continuous dependence estimates for viscosity solutions of integro-PDEs. Journal of Differential Equations 212:2, pages 278-318.
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Cyril Imbert. (2005) A non-local regularization of first order Hamilton–Jacobi equations. Journal of Differential Equations 211:1, pages 218-246.
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Fred Espen Benth, Kenneth Hvistendahl Karlsen & Kristin Reikvam. (2003) Merton's portfolio optimization problem in a Black and Scholes market with non-Gaussian stochastic volatility of Ornstein-Uhlenbeck type. Mathematical Finance 13:2, pages 215-244.
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