84 citations · 85 across the 8 of their papers we have counts for
8 papers
Multivariate utility maximization with proportional transaction costs
Luciano Campi, Mark P. Owen
We present an optimal investment theorem for a currency exchange model with random and possibly discontinuous proportional transaction costs. The investor's preferences are represe…
Optimal Investment with an Unbounded Random Endowment and Utility-Based Pricing
Mark Owen, Gordan Zitkovic
This paper studies the problem of maximizing the expected utility of terminal wealth for a financial agent with an unbounded random endowment, and with a utility function which sup…
On utility-based super-replication prices of contingent claims with unbounded payoffs
Frank Oertel, Mark Owen
Consider a financial market in which an agent trades with utility-induced restrictions on wealth. For a utility function which satisfies the condition of reasonable asymptotic elas…
Geometry of polar wedges and super-replication prices in incomplete financial markets
Frank Oertel, Mark P. Owen
Consider a financial market in which an agent trades with utility-induced restrictions on wealth. By introducing a general convex-analytic framework which includes the class of umb…
Nodal sets for the groundstate of the Schroedinger operator with zero magnetic field in a non simply connected domain
B. Helffer, M. Hoffmann-Ostenhof, T. Hoffmann-Ostenhof +1
We investigate nodal sets of magnetic Schroedinger operators with zero magnetic field, acting on a non simply connected domain in $\r^2$. For the case of circulation 1/2 of the mag…
The Hardy-Rellich Inequality for Polyharmonic Operators
Mark P. Owen
The Hardy-Rellich inequality given here generalizes a Hardy inequality of Davies (1984), from the case of the Dirichlet Laplacian of a region to that of the hig…