Investment/consumption problem in illiquid markets with regimes switching

Preprint OPEN
Paul Gassiat ; Fausto Gozzi ; Huyen Pham (2011)
  • 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]

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 Cox process with intensity depending on the market regime. Moreover, the risky ... View more
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