Related papers: A stability result on optimal Skorokhod embedding
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Mathematical models for financial asset prices which include, for example, stochastic volatility or jumps are incomplete in that derivative securities are generally not replicable by trading in the underlying. In earlier work (2004) the…
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In ergodic singular stochastic control problems, a decision-maker can instantaneously adjust the evolution of a state variable using a control of bounded variation, with the goal of minimizing a long-term average cost functional. The cost…
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Variational stability, in the sense of local good behavior of optimal values and solutions in problems of optimization under shifts in parameters, is important not only for validating model robustness in practical applications but also for…