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Portfolio optimisation with strictly positive transaction costs and impulse control

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2000Risk sensitive asset management with transaction costs93 cited

2005On some recent aspects of stochastic control and their applications92 cited

2010Impulse Control of Multidimensional Jump Diffusions69 cited

2008Optimal impulse control for a multidimensional cash management system with generalized cost functions67 cited

2004European option pricing and hedging with both fixed and proportional transaction costs64 cited

2015TRADING WITH SMALL PRICE IMPACT60 cited

2009Optimal portfolio liquidation with execution cost and risk49 cited

2013Brownian Inventory Models with Convex Holding Cost, Part 1: Average-Optimal Controls48 cited

2009Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions48 cited

2004Optimal tracking for asset allocation with fixed and proportional transaction costs46 cited

2009Smooth Fit Principle for Impulse Control of Multidimensional Diffusion Processes46 cited

1998Optimal Index Tracking Under Transaction Costs and Impulse Control43 cited

2005Optimal Switching with Applications to Energy Tolling Agreements40 cited