3 documents found

Dissertation

Contributions to the theory of optimal stopping

This thesis deals with the explicit solution of optimal stopping problems with infinite time horizon. To solve Markovian problems in continuous time we introduce an approach that gives rise to explicit results in various situations. The main idea is to characterize the optimal stopping set as the union...
Dissertation

Stochastische Fixpunktgleichungen über D

In der vorliegenden Arbeit betrachten wir Prozessgleichungen der Form $$(X(t))_{t\in[0,1]} \d \Big(\sum_{j\geq 1}T_j X_j(\tau_j(t)) + C(t)\Big)_{t\in [0,1]}$$ und untersuchen diese in Hinblick auf Lösungen mit Pfaden in $D$, dem Raum der càdlàg-Funktionen über dem Einheitsintervall $[0,1]$. Unsere...
Dissertation

Portfolio optimization in arbitrary dimensions in the presence of small...

This thesis deals with the problem of maximizing the expected utility of terminal wealth in financial markets with an arbitrary number of risky assets in the presence of small bid-ask spreads. The goal is to determine an asymptotically optimal trading strategy and to quantify the asymptotic welfare impact...