2 papers
math.PR2025
Skorokhod Transition in the Conic Market Model
Artur Sidorenko
This paper examines the applicability of the Skorokhod representation theorem in filtrated probability spaces for the utility maximization problem in the Kabanov conic model of mul…
q-fin.MF2025
Well-posedness of behavioral singular stochastic control problems
Artur Sidorenko
We investigate the well-posedness of a general class of singular stochastic control problems in which controls are processes of finite variation. We develop an abstract framework,…