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Consumption-investment problem with transaction costs for Lévy-driven price processes
Finance and Stochastics. 2016. Vol. 20. No. 3. P. 705–740.
De Vallière D., Kabanov Y., Lépinette E.
We consider an optimal control problem for a linear stochastic integro-differential equation with conic constraints on the phase variable and with the control of singular–regular type. Our setting includes consumption-investment problems for models of financial markets in the presence of proportional transaction costs, where the prices of the assets are given by a geometric Lévy process, and the investor is allowed to take short positions. We prove that the Bellman function of the problem is a viscosity solution of an HJB equation. A uniqueness theorem for the solution of the latter is established. Special attention is paid to the dynamic programming principle.
Garzón J., Mora Rodríguez J., Moreno-Franco H. A., Applied Mathematics and Optimization 2026 Vol. 94 No. 10 P. 1–43
We study an optimal extraction problem where the agent’s actions in the spot market exert an additive proportional negative impact on the commodity price. The commodity price dynamics, prior to any activity by the agent, evolve according to a drifted Brownian motion with jumps. The agent’s primary aim is to identify an optimal extraction strategy ...
Added: June 17, 2026
Burashnikov E., Operations Research Forum 2024
Added: September 21, 2024
Eduard Babkin, Vitalii Golov, Pavel Malyzhenkov, , in: Advances in Enterprise Engineering XVII. 13th Enterprise Design and Engineering Working Conference, EDEWC 2023, Vienna, Austria, November 28–29, 2023, Revised Selected PapersVol. 510.: Cham: Springer, 2024. Ch. 2 P. 18–34.
Added: May 7, 2024
Golovanova S., Pontual Ribeiro E., Evgeny Styrin et al., Journal of Institutional Economics 2024 Vol. 20 Article e12
A growing number of labour market participants transact through gig platforms. This choice should reflect a reduction in transaction costs for platform users, compared to costs they meet when using alternative modes of governance. We exploit a unique cross-platform, cross-country data set of gig platform users to test the impact of the institutional environment in ...
Added: February 1, 2024
D. V. Gribanov, Shumilov I. A., D. S. Malyshev, Optimization Letters 2024 Vol. 18 P. 73–103
In this work we consider the problem of computing the (min,+)-convolution of two sequences a and b of lengths n and m, respectively, where n≥m. We assume that a is arbitrary, but b_i=f(i), where f(x):[0,m)→R is a function with one of the following properties: f is linear, f is monotone, f is convex, f is concave, f is piece-wise linear, f is a polynomial function of a fixed degree. To the best of our knowledge, the concave, piece-wise linear and polynomial ...
Added: May 28, 2023
Babeykin R., Городские исследования и практики 2022 Т. 7 № 3 С. 91–115
The article is devoted to the consideration of the American experience in legal zoning in order to critically assess the possibilities of its application in Russia. The study is carried out in the form of a literature review, which includes the consideration of existing theoretical and empirical foreign studies, based on analyzing the data about ...
Added: December 6, 2022
Maron A., Maron M., Вестник Московского авиационного института 2022 Т. 29 № 2 С. 158–165
The relevance of this work is due to the fact, that reducing the time of searching and the time for eliminating defects in civil aviation passenger aircraft can significantly reduce departure delays and the associated losses of airlines. The analysis of statistical data shows that the searching and eliminating defects are the dominant causes of ...
Added: September 30, 2022
Afanasiev V., М.: Красанд/URSS, 2020.
This book has been prepared on the basis of lectures on control theory given by the author for a number of years to students of the Department of Applied Mathematics of the National Research University Higher School of Economics and the Faculty of Physics Moscow State University named after M. V. Lomonosov. The content of the ...
Added: August 27, 2022
Teplova T., Gurov S., Applied Economics 2022 Vol. 54 No. 51 P. 5943–5955
We perform a comprehensive study of different illiquidity effects in the relatively illiquid Russian stock market. Over the period 2010–2020, we apply cross-sectional and time-series regressions using two low-frequency illiquidity proxies: the Amihud ratio and the invariance-implied ratio. The evidence suggests that implicit trading costs influence only the returns of small-capitalization stocks or low size ...
Added: April 26, 2022
Barinova M., Lobachevskii Journal of Mathematics 2021 Vol. 42 No. 14 P. 3317–3323
If the chain recurrent set of a diffeomorphism f given on a closed n-manifold M^n is
hyperbolic (equivalently, f is an Ω-stable) then it coincides with the closure of the periodic points set
Perf and its chain recurrent components coincide with the basic sets. Due to C. Conley for such a
diffeomorphism there is a Lyapunov function which ...
Added: March 17, 2022
Осипов Н. Н., Боровицкий В. А., Целищев А. С., / Series math "arxiv.org". 2021.
It is shown that the Bellman function method can be applied to study the Lp-norms of general operators on martingales, i.e., of operators that are not necessarily martingale transforms. Informally, we provide a single Bellman-type function that "encodes" the Lp-boundedness of "almost all" operators from Gundy's extrapolation theorem. As examples of such operators, we consider the Haar ...
Added: December 7, 2021
Dmitrieva N., Minchenko O., Rylskikh E., Вопросы государственного и муниципального управления 2022 № 2 С. 60–84
In this article the authors raise the question of the impact of digital platforms on the change of public values and on the system of public administration. Digital platforms O2O (online-to-offline) are considered as new economic agents, transforming into institutional mechanisms and forming a new system of values. Using the public values typology to assess ...
Added: October 21, 2021
Rutskiy V., Tsarev R., Titov I. A., , in: IOP Conference Series: Earth and Environmental Science, Vol. 421Vol. 421: 2nd International Scientific Conference «AGRITECH-II-2019: Agribusiness, Environmental Engineering and Biotechnologies» 13–14 November 2019, Krasnoyarsk, Russia. Issue 3.: Institute of Physics Publishing (IOP), 2020.
Added: October 19, 2021
Andreev N. A., Smirnov S. N., Computational Mathematics and Modeling 2021 Vol. 32 P. 22–44
We consider a guaranteed deterministic approach to discrete-time super-replication for guaranteed coverage of contingent claims on options for all possible asset-price scenarios. Price increases during a period are assumed to be contained in a priori specified compacta dependent on price history. A game problem is stated and reduced to the solution of the corresponding Bellman–Isaacs ...
Added: September 30, 2021
Medvedev T. V., Pochinka O., Zinina S., Advances in Mathematics 2021 Vol. 378 P. 1–15
It is a well known fact that any smooth manifold admits a Morse function, whereas the problem of existence of a Morse function for a topological manifold stated by Marston Morse in 1959 is still open. In the present paper we prove that a topological manifold admits a continuous Morse function if it admits a ...
Added: December 9, 2020
Pospelov I. G., Zhukova A., , in: 2020 European Control Conference (ECC).: Institute of Electrical and Electronics Engineers Inc., 2020. P. 1129–1134.
This paper presents the approach to solving optimal control problems that appear in economic models using the Lagrange's multipliers method. This method is not as widely used as it might be, taking into accounts its benefits and convenience. The power of this method for intertemporal general equilibrium allows building complex structural models of the whole ...
Added: December 8, 2020
Tsiteladze D., Мининский университет, 2020.
The tutorial summarizes modern concepts and approaches in the field innovation management and is designed to study training courses on management of the innovation process. This publication is based on materials lectures and seminars on the subjects of innovation management, management innovative enterprises and management of innovative projects that the author spent a number of ...
Added: December 6, 2020
Balaeva O., Yakovlev A. A., Rodionova Y. et al., Public Money & Management 2022 Vol. 42 No. 3 P. 181–190
This paper presents a public procurement transaction cost evaluation using a large-scale survey of procurers and suppliers. The study was conducted in Russia in 2017. The results of the survey confirmed that the lower the contract value, the more expensive the procurement procedure. An empirical analysis of factors impacting public procurement cost evaluation also revealed ...
Added: October 21, 2020
Shastitko A., Kurdin A., Вопросы теоретической экономики 2020 № 2 С. 36–50
Статья посвящена особенностям поведения экономических агентов в ситуациях выбора с разными информационными характеристиками. Ситуации принятия решений могут быть систематизированы по признакам наличия информации о составе возможных случайных событий и вероятности их наступления. Можно выделить ситуации определенности, риска, параметрической и структурной неопределенности. В ряде случаев попадание экономических агентов в наиболее сложную ситуацию структурной неопределенности способствует выработке ...
Added: August 20, 2020
N. A. Andreev, Journal of Mathematical Sciences 2020 Vol. 248 No. 1 P. 116–122
This paper studies the form of the instantaneous impact cost function in a financial market with transaction costs via an axiomatic approach. We show that several kinds of convexity of the cost function are equivalent to the corresponding properties of the price impact functions. The results clarify the implicit assumptions made when selecting a particular ...
Added: July 25, 2020
Meissner D., Burton N., Galvin P. et al., Journal of Business Research 2021 Vol. 128 P. 762–769
The mirroring hypothesis highlights the correspondence of design characteristics across different architectural levels and in this paper, we consider how mirroring may impact the distribution of national and international innovation activities of firms. We identify incremental and modular innovations (as product architecture reinforcing innovations) along with architectural and radical innovations (as innovations that overturn the ...
Added: February 27, 2020
Andreev N. A., В кн.: "Тихоновские чтения": научная конференция: тезисы докладов: посвящается памяти академика Андрея Николаевича Тихонова: 29 октября-1 ноября 2019 г.: М.: ООО «Макс Пресс», 2019. С. 14–14.
Доклад посвящен приложению гарантированного подхода, предложенного Смирновым С.Н. [1],[2], к задаче управления портфелем финансовых инструментов на низколиквидном рынке с учетом модельной ошибки. Рассматривается игровая постановка в дискретном времени на конечном горизонте, в рамках которой инвестор максимизирует ожидаемое вознаграждение от портфеля (робастный эквивалент Сэвиджа) в конце стратегии. Оптимальная стратегия находится в неявном виде как решение соответствующего ...
Added: October 30, 2019
Andreev N. A., Mathematics 2019 Vol. 7 No. 12 P. 1147
We present a robust dynamic programming approach to the general portfolio selection problem in the presence of transaction costs and trading limits. We formulate the problem as a dynamic infinite game against nature and obtain the corresponding Bellman-Isaacs equation. Under~several additional assumptions, we get an alternative form of the equation, which is more feasible for ...
Added: October 30, 2019