2 citations · 2 across the 2 of their papers we have counts for
2 papers
q-fin.PM2012
Utility Maximization in a Binomial Model with transaction costs: a Duality Approach Based on the Shadow Price Process
Christian Bayer, Bezirgen Veliyev
We consider the problem of optimizing the expected logarithmic utility of the value of a portfolio in a binomial model with proportional transaction costs with a long time horizon.…
math.PR2010★ 2 cited
A short Proof of the Doob-Meyer Theorem
Mathias Beiglboeck, Walter Schachermayer, Bezirgen Veliyev
Every submartingale S of class D has a unique Doob-Meyer decomposition S=M+A, where M is a martingale and A is a predictable increasing process starting at 0. We provide a short an…