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math.PR2015
A construction of infinite Brownian particle systems
Mykhaylo Shkolnikov
The paper identifies families of quasi-stationary initial conditions for infinite Brownian particle systems within a large class and provides a construction of the particle systems…
q-fin.MF2015
Asymptotic analysis of forward performance processes in incomplete markets and their ill-posed HJB equations
Mykhaylo Shkolnikov, Ronnie Sircar, Thaleia Zariphopoulou
We consider the problem of optimal portfolio selection under forward investment performance criteria in an incomplete market. The dynamics of the prices of the traded assets depend…