7 citations · 12 across the 11 of their papers we have counts for
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q-fin.MF2018
Continuity of Utility Maximization under Weak Convergence
Erhan Bayraktar, Yan Dolinsky, Jia Guo
In this paper we find tight sufficient conditions for the continuity of the value of the utility maximization problem from terminal wealth with respect to the convergence in distri…
q-fin.MF2018
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…
math-ph2018
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…