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q-fin.MF2026
On convergence of the Mayer problems arising in the theory of financial markets with transaction cost
Yuri Kabanov, Artur Sidorenko
The geometric approach to financial markets with proportional transaction cost prescribes to imbed a specific model (of stock market, of currency market etc.), usually given in a p…
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,…