4 papers · 1 filter
Long-run risk-sensitive portfolio optimisation with proportional transaction costs and log Lévy asset prices
Damian Jelito, Łukasz Stettner
We study a long-run risk-sensitive portfolio problem with proportional transaction costs in a continuous-time market whose log-prices are given as a Lévy process, and rebalancing i…
Long-run impulse control with generalised discounting
Damian Jelito, Łukasz Stettner
In this paper, we investigate the effects of applying generalised (non-exponential) discounting on a long-run impulse control problem for a Feller-Markov process. We show that the…
Risk sensitive optimal stopping
Damian Jelito, Marcin Pitera, Łukasz Stettner
In this paper we consider discrete and continuous time risk sensitive optimal stopping problem. Using suitable properties of the underlying Feller-Markov process we prove continuit…
Long-run risk sensitive impulse control
Damian Jelito, Marcin Pitera, Łukasz Stettner
In this paper we consider long-run risk sensitive average cost impulse control applied to a continuous-time Feller-Markov process. Using the probabilistic approach, we show how to…