3 papers
q-fin.MF2026
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…
math.CA2024
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…
math.CA2024
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…