42 citations · 105 across the 19 of their papers we have counts for
7 papers · 1 filter
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…
Liquidity in Competitive Dealer Markets
Peter Bank, Ibrahim Ekren, Johannes Muhle-Karbe
We study a continuous-time version of the intermediation model of Grossman and Miller (1988). To wit, we solve for the competitive equilibrium prices at which liquidity takers' dem…
Optimal investment with transient price impact
Peter Bank, Moritz Voß
We introduce a price impact model which accounts for finite market depth, tightness and resilience. Its coupled bid- and ask-price dynamics induce convex liquidity costs. We provid…