7 citations · 12 across the 13 of their papers we have counts for
3 papers · 1 filter
Extended Weak Convergence and Utility Maximization with Proportional Transaction Costs
Erhan Bayraktar, Leonid Dolinskyi, Yan Dolinsky
In this paper we study utility maximization with proportional transaction costs. Assuming extended weak convergence of the underlying processes we prove the convergence of the corr…
The Value of Insider Information for Super--Replication with Quadratic Transaction Costs
Yan Dolinsky, Jonathan Zouari
We study super--replication of European contingent claims in an illiquid market with insider information. Illiquidity is captured by quadratic transaction costs and insider informa…
A Note on Costs Minimization with Stochastic Target Constraints
Yan Dolinsky, Benjamin Gottesman, Ori Gurel-Gurevich
We study the minimization of the expected costs under stochastic constraint at the terminal time. The first and the main result says that for a power type of costs, the value funct…