104 citations · 216 across the 12 of their papers we have counts for
13 papers
A remark on smooth solutions to a stochastic control problem with a power terminal cost function and stochastic volatilities
Yalçin Aktar, Erik Taflin
Incomplete financial markets are considered, defined by a multi-dimensional non-homogeneous diffusion process, being the direct sum of an Itô process (the price process), and anoth…
Robust no-free lunch with vanishing risk, a continuum of assets and proportional transaction costs
Bruno Bouchard, Emmanuel Lepinette, Erik Taflin
We propose a continuous time model for financial markets with proportional transactions costs and a continuum of risky assets. This is motivated by bond markets in which the contin…
No-arbitrage of second kind in countable markets with proportional transaction costs
Bruno Bouchard, Erik Taflin
Motivated by applications to bond markets, we propose a multivariate framework for discrete time financial markets with proportional transaction costs and a countable infinite numb…
Generalized integrands and bond portfolios: Pitfalls and counter examples
Erik Taflin
We construct Zero-Coupon Bond markets driven by a cylindrical Brownian motion in which the notion of generalized portfolio has important flaws: There exist bounded smooth random va…
In which Financial Markets do Mutual Fund Theorems hold true?
Walter Schachermayer, Mihai Sirbu, Erik Taflin
The Mutual Fund Theorem (MFT) is considered in a general semimartingale financial market S with a finite time horizon T, where agents maximize expected utility of terminal wealth.…
Simple Non Linear Klein-Gordon Equations in 2 space dimensions, with long range scattering
Erik Taflin
We establish that solutions, to the most simple NLKG equations in 2 space dimensions with mass resonance, exhibits long range scattering phenomena. Modified wave operators and solu…