7 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…
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…
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: Cesàro 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…
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…
Solution Space Characterisation of Perturbed Linear Volterra Integrodifferential Convolution Equations: the Lp case
John A. D. Appleby, Emmet Lawless
In this paper we characterise the Lp stability of perturbed linear Volterra integrodifferential convolution equations. Additionally we provide a framework which points to necessary…
Mean square asymptotic stability characterisation of perturbed linear stochastic functional differential equations
John Appleby, Emmet Lawless
In this paper we investigate the mean square asymptotic stability of a perturbed scalar linear stochastic functional differential equation. Specifically, we are able to give necess…