Now showing items 11-13 of 13
Asymptotics for small nonlinear price impact: A PDE approach to the multidimensional case
(Cambridge University PressWiley Periodicals, Inc., 2021-01)
We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small nonlinear price impact. In our model, cross‐impacts between assets are allowed. In the ...
Equilibrium concepts for time‐inconsistent stopping problems in continuous time
(University of British ColumbiaWiley Periodicals, Inc., 2021-01)
A new notion of equilibrium, which we call strong equilibrium, is introduced for time‐inconsistent stopping problems in continuous time. Compared to the existing notions introduced in Huang, Y.‐J., & Nguyen‐Huu, A. (2018, ...
Equilibria of time-inconsistent stopping for one-dimensional diffusion processes
(SpringerWiley Periodicals, Inc., 2023-07)
We consider three equilibrium concepts proposed in the literature for time-inconsistent stopping problems, including mild equilibria (introduced in Huang and Nguyen-Huu (2018)), weak equilibria (introduced in Christensen ...