1 citations · 1 across the 1 of their papers we have counts for
8 papers
A Note on Utility Indifference Pricing with Delayed Information
Peter Bank, Yan Dolinsky
We consider the Bachelier model with information delay where investment decisions can be based only on observations from time units before. Utility indifference prices are st…
On a Stochastic Representation Theorem for Meyer-measurable Processes and its Applications in Stochastic Optimal Control and Optimal Stopping
Peter Bank, David Besslich
In this paper we study a representation problem first considered in a simpler version by Bank and El Karoui [2004]. A key ingredient to this problem is a random measure on the…
Modelling information flows by Meyer--fields in the singular stochastic control problem of irreversible investment
Peter Bank, David Besslich
In stochastic control problems delicate issues arise when the controlled system can jump due to both exogenous shocks and endogenous controls. Here one has to specify what the cont…
On Lenglart's Theory of Meyer-sigma-fields and El Karoui's Theory of Optimal Stopping
Peter Bank, David Besslich
We summarize the general results of El Karoui [1981] on optimal stopping problems for processes which are measurable with respect to Meyer--fields. Meyer--fields are due to L…
Scaling Limits for Super--replication with Transient Price Impact
Peter Bank, Yan Dolinsky
We prove a scaling limit theorem for the super-replication cost of options in a Cox--Ross--Rubinstein binomial model with transient price impact. The correct scaling turns out to k…
Photonic systems with two-dimensional landscapes of complex refractive index via time-dependent supersymmetry
Alonso Contreras-Astorga, Vit Jakubský
We present a framework for the construction of solvable models of optical settings with genuinely two-dimensional landscapes of refractive index. The solutions of the associated no…