Investment/consumption problem in illiquid markets with regime-switching
We consider an illiquid financial market with different regimes modeled by a continuous-time
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
Investment/consumption problem in illiquid markets with regime-switching
P Gassiat, F Gozzi - 2012 - ideas.repec.org
We consider an illiquid financial market with different regimes modeled by a continuous-time
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
[PDF][PDF] Investment/consumption problem in illiquid markets with regime-switching
P Gassiat, F Gozzi, H Pham - 2013 - scholar.archive.org
We consider an illiquid financial market with different regimes modeled by a continuous-time
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
Investment/Consumption Problem in Illiquid Markets with Regime-Switching
P Gassiat, F Gozzi, H Pham - SIAM Journal on Control …, 2014 - hal.sorbonne-universite.fr
We consider an illiquid financial market with different regimes modeled by a continuous-time
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
[PDF][PDF] Investment/consumption problem in illiquid markets with regime-switching
P Gassiat, F Gozzi, H Pham - arXiv preprint arXiv:1107.4210, 2011 - academia.edu
We consider an illiquid financial market with different regimes modeled by a continuous-time
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
Investment/consumption problem in illiquid markets with regime-switching
P Gassiat, F Gozzi, H Pham - arXiv preprint arXiv:1107.4210, 2011 - arxiv.org
We consider an illiquid financial market with different regimes modeled by a continuous-time
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
[PDF][PDF] Investment/consumption problem in illiquid markets with regime-switching
P Gassiat, F Gozzi, H Pham - arXiv preprint arXiv:1107.4210, 2011 - Citeseer
We consider an illiquid financial market with different regimes modeled by a continuous-time
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
Investment/consumption problem in illiquid markets with regimes switching
P Gassiat, F Gozzi, H Pham - 2011 - u-paris.hal.science
We consider an illiquid financial market with different regimes modeled by a continuous-time
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
Investment/consumption problem in illiquid markets with regimes switching
P Gassiat, F Gozzi, H Pham - 2011 - econpapers.repec.org
We consider an illiquid financial market with different regimes modeled by a continuous-time
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
[PDF][PDF] Investment/consumption problem in illiquid markets with regimes switching
P Gassiat, F Gozzi, H Pham - 2011 - core.ac.uk
We consider an illiquid financial market with different regimes modeled by a continuous-time
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …
finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a …