24 citations · 32 across the 8 of their papers we have counts for
8 papers
The investor problem based on the HJM model
Szymon Peszat, Dariusz Zawisza
We consider a consumption-investment problem (both on finite and infinite time horizon) in which the investor has an access to the bond market. In our approach prices of bonds with…
On the parabolic equation for portfolio problems
Dariusz Zawisza
We consider a semilinear equation linked to the finite horizon consumption - investment problem under the stochastic factor framework and we prove it admits a classical solution an…
A note on the worst case approach for a market with a stochastic interest rate
Dariusz Zawisza
We solve robust optimization problem and show the example of the market model for which the worst case measure is not a martingale measure. In our model the instantaneous interest…
Stochastic control on the half-line and applications to the optimal dividend/consumption problem
Dariusz Zawisza
We consider a stochastic control problem with the assumption that the system is controlled until the state process breaks the fixed barrier. Assuming some general conditions, it is…
Existence results for Isaacs equations with local conditions and related semilinear Cauchy problems
Dariusz Zawisza
Our goal is to prove existence results for classical solutions to some general nondegenerate Cauchy problems which are natural generalizations of Isaacs equations. For the latter w…
Smooth solutions to discounted reward control problems with unbounded discount rate and financial applications
Dariusz Zawisza
We consider a discounted reward control problem in continuous time stochastic environment where the discount rate might be an unbounded function of the control process. We provide…