12 citations · 14 across the 3 of their papers we have counts for
4 papers
Asymptotics of impulse control problem with multiplicative reward
Damian Jelito, Łukasz Stettner
We consider a long-run impulse control problem for a generic Markov process with a multiplicative reward functional. We construct a solution to the associated Bellman equation and…
Discrete-time risk sensitive portfolio optimization with proportional transaction costs
Marcin Pitera, Łukasz Stettner
In this paper we consider a discrete-time risk sensitive portfolio optimization over a long time horizon with proportional transaction costs. We show that within the log-return i.i…
Risk sensitive optimal stopping
Damian Jelito, Marcin Pitera, Łukasz Stettner
In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuit…
Long-run risk sensitive dyadic impulse control
Marcin Pitera, Łukasz Stettner
In this paper long-run risk sensitive optimisation problem is studied with dyadic impulse control applied to continuous-time Feller-Markov process. In contrast to the existing lite…