90 citations · 141 across the 9 of their papers we have counts for
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math.PR2008
Optimal consumption policies in illiquid markets
Alessandra Cretarola, Fausto Gozzi, Huyên Pham +1
We investigate optimal consumption policies in the liquidity risk model introduced in Pham and Tankov (2007). Our main result is to derive smoothness results for the value function…
math.PR2008★ 36 cited
A mixed singular/switching control problem for a dividend policy with reversible technology investment
Vathana Ly Vath, Huyên Pham, Stéphane Villeneuve
We consider a mixed stochastic control problem that arises in Mathematical Finance literature with the study of interactions between dividend policy and investment. This problem co…