42 citations · 105 across the 19 of their papers we have counts for
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math.OC2016
Linear quadratic stochastic control problems with stochastic terminal constraint
Peter Bank, Moritz Voß
We study a linear quadratic optimal control problem with stochastic coefficients and a terminal state constraint, which may be in force merely on a set with positive, but not neces…
q-fin.MF2016★ 1 cited
Super-Replication with Fixed Transaction Costs
Peter Bank, Yan Dolinsky
We study super--replication of contingent claims in markets with fixed transaction costs. This can be viewed as a stochastic impulse control problem with a terminal state constrain…