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20052025
most citedA zero-sum game between a singular stochastic controller and a discretionary stopper

24 citations · 44 across the 6 of their papers we have counts for

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q-fin.MF2025

Utility Maximisation with Model-independent Constraints

Alexander M. G. Cox, Daniel Hernandez-Hernandez

We consider an agent who has access to a financial market, including derivative contracts, who looks to maximise her utility. Whilst the agent looks to maximise utility over one pr…