## Investment/consumption problem in illiquid markets with regimes switching

*Gassiat , Paul*;

*Gozzi , Fausto*;

*Pham , Huyen*;

- Publisher: HAL CCSD
- Subject: [ MATH.MATH-PR ] Mathematics [math]/Probability [math.PR] | [ QFIN.PM ] Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM] | [MATH.MATH-PR]Mathematics [math]/Probability [math.PR] | [QFIN.PM]Quantitative Finance [q-fin]/Portfolio Management [q-fin.PM]

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[3] Cretarola A., Gozzi F., Pham H. and P. Tankov (2011): “Optimal consumption policies in illiquid markets”, Finance and Stochastics, 15, 85-115.

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[12] Ludkovski M. and H. Min (2010): “Illiquidity effects in optimal consumption-investment problems”, Preprint available on arXiv: 1004.1489

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[16] Protter, P. (2004): “Stochastic Integration and Differential Equations”, Springer-Verlag.

[17] Rogers C. and O. Zane (2002) : “A simple model of liquidity effects”, in Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, eds. K. Sandmann and P. Schoenbucher, pp 161-176.

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