38 citations · 70 across the 12 of their papers we have counts for
4 papers · 1 filter
Shadow price in the power utility case
Attila Herczegh, Vilmos Prokaj
We consider the problem of maximizing expected power utility from consumption over an infinite horizon in the Black-Scholes model with proportional transaction costs, as studied in…
The Fixed Point of the Composition of Derivatives
Márton Elekes, Tamás Keleti, Vilmos Prokaj
We give an affirmative answer to a question of K. Ciesielski by showing that the composition of two derivatives always has a fixed point. Using Maxim…
Planar Diffusions with Rank-Based Characteristics: Transition Probabilities, Time Reversal, Maximality and Perturbed Tanaka equations
E. Robert Fernholz, Tomoyuki Ichiba, Ioannis Karatzas +1
We construct a planar diffusion process whose infinitesimal generator depends only on the order of the components of the process. Speaking informally and a bit imprecisely for the…
The solution of the perturbed Tanaka-equation is pathwise unique
Vilmos Prokaj
The Tanaka equation is an example of a stochastic differential equation (SDE) without strong solution. Hence pathwise uniqueness does not ho…