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Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution

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2003Jumps and Dynamic Asset Allocation48 cited
2008Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions41 cited
2002Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs

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2011POWER UTILITY MAXIMIZATION IN CONSTRAINED EXPONENTIAL LÉVY MODELS35 cited

2005Bounded Variation Singular Stochastic Control and Dynkin Game34 cited

2004Optimal Control Problem Associated with Jump Processes33 cited