F. Klebaner

activity

20052026

most citedDynamic portfolio optimization with liquidity cost and market impact: a simulation-and-regression approach

24 citations · 83 across the 28 of their papers we have counts for

collaborators

Showing 2011Show all

2 papers · 1 filter

math.PR2011★ 5 cited

When a Stochastic Exponential is a True Martingale. Extension of a Method of Bene^s

F. Klebaner, R. Liptser

Let $z$ be a stochastic exponential, i.e., $z_{t} = 1 + \int_{0}^{t} z_{s -} d M_{s}$ , of a local martingale $M$ with jumps $△ M_{t} > - 1$ . Then $z$ …

math.PR2011★ 2 cited

The Euler-Maruyama approximation for the absorption time of the CEV diffusion

Pavel Chigansky, Fima C. Klebaner

A standard convergence analysis of the simulation schemes for the hitting times of diffusions typically requires non-degeneracy of their coefficients on the boundary, which exclude…