5 papers
Infinite Horizon Optimal Consumption: Intertemporal Hedging under Epstein-Zin Preferences
Erhan Bayraktar, Emmet Lawless
We study an infinite-horizon optimal consumption-investment problem for an investor with Epstein-Zin stochastic differential utility in an incomplete market with stochastic investm…
Solution space characterisation of perturbed linear discrete and continuous stochastic Volterra convolution equations: the and cases
John A. D. Appleby, Emmet Lawless
In this article, we are concerned with characterising when solutions of perturbed linear stochastic Volterra summation equations are almost surely -summable and when their conti…
Characterisation of asymptotic behaviour of perturbed deterministic and stochastic pantograph equations
John A. D. Appleby, Emmet Lawless
This paper considers the asymptotic behaviour of deterministically and stochastically forced linear pantograph equations. The asymptotic behaviour is studied in the case when all s…
Solution space characterisation of perturbed linear functional and integrodifferential Volterra convolution equations: Cesà ro limits
John A. D. Appleby, Emmet Lawless
In this article we discuss the requirements needed in order to characterise the solution space of perturbed linear integro-differential Volterra convolution equations. We highlight…
Weighted Asymptotic Characterisation of Perturbed Autonomous Linear Ordinary and Stochastic Differential Equations: Part I -- ODEs
John A. D. Appleby, Emmet Lawless
This is the first of a two-part paper which determines necessary and sufficient conditions on the asymptotic behaviour of forcing functions so that the solutions of additively pert…