42 citations · 105 across the 19 of their papers we have counts for
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q-fin.MF2014
Super-replication with nonlinear transaction costs and volatility uncertainty
Peter Bank, Yan Dolinsky, Selim Gökay
We study super-replication of contingent claims in an illiquid market with model uncertainty. Illiquidity is captured by nonlinear transaction costs in discrete time and model unce…
math.OC2014
Convex duality for stochastic singular control problems
Peter Bank, Helena Kauppila
We develop a general theory of convex duality for certain singular control problems, taking the abstract results by Kramkov and Schachermayer (1999) for optimal expected utility fr…