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Deterministic and stochastic perturbations of area preserving flows on a two-dimensional torus
Averaging Markov Process Hamiltonian Flow Gluing Conditions Diffusion on a Graph
2015/9/28
We study deterministic and stochastic perturbations of incompressible flows on a two-dimensional torus. Even in the case of purely deterministic perturbations, the long-time behavior of such ...
Stability of exponential utility maximization with respect to market perturbations
exponential utility maximization market perturbations Portfolio Management
2011/10/8
Abstract: We investigate the continuity of expected exponential utility maximization with respect to perturbation of the Sharpe ratio of markets. By focusing only on continuity, we impose weaker regul...
