5 citations · 28 across the 30 of their papers we have counts for
Showing math.PRShow all
3 papers · 1 filter
math.PR2017
An Extension of Clark-Haussman Formula and Applications
Traian A. Pirvu, Ulrich G. Haussmann
This work considers a stochastic model in which the uncertainty is driven by a multidimensional Brownian motion. The market price of risk process makes the transition between real…
math.PR2007★ 4 cited
On Robust Utility Maximization
Traian A Pirvu, Ulrich G Haussmann
This paper studies the problem of optimal investment in incomplete markets, robust with respect to stopping times. We work on a Brownian motion framework and the stopping times are…
math.PR2007
A Portfolio Decomposition Formula
Traian A Pirvu, Ulrich G Haussmann
This paper derives a portfolio decomposition formula when the agent maximizes utility of her wealth at some finite planning horizon. The financial market is complete and consists o…