67 citations · 247 across the 21 of their papers we have counts for
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q-fin.PM2015★ 32 cited
Optimal investment with intermediate consumption under no unbounded profit with bounded risk
Huy N. Chau, Andrea Cosso, Claudio Fontana +1
We consider the problem of optimal investment with intermediate consumption in a general semimartingale model of an incomplete market, with preferences being represented by a utili…
math.PR2015
The strong predictable representation property in initially enlarged filtrations under the density hypothesis
Claudio Fontana
We study the strong predictable representation property in filtrations initially enlarged with a random variable L. We prove that the strong predictable representation property can…