The Kyle (1985) and Back (1992) model of continuous-time asset pricing with asymmetric information is studied. A larger class of price processes is considered, namely price processes that allow the price to depend in a certain way on the path of the market order. A no expected (or inconspicuous...

In this paper necessary and sufficient conditions for a multicriteria stochastic control problem are stated. Moreover the convergence of a finite difference approximation method for the solution of the resulting system of second order PDEs is shown. Copyright Springer-Verlag Berlin Heidelberg 2001

In this paper necessary and sufficient conditions for a multicriteria stochastic control problem are stated. Moreover the convergence of a finite difference approximation method for the solution of the resulting system of second order PDEs is shown. Copyright Springer-Verlag Berlin Heidelberg 2001

In this paper we analyse a stochastic volatility model that is an extension of the traditional Black-Scholes one. We price European options on several assets by using a superstrategy approach. We characterize the Markov superstrategies, and show that they are linked to a nonlinear PDE, called...

Despite the advantages of international trade, a number of countries have stuck to restricted trade regimes, allowing the productivity gap between themselves and the “trading” world to become huge before turning to a more outward oriented trade policy. As a supplement to the existing...

A model of a renewable resource is developed where the growth and quality of the resource are reduced by pollution. Ambient pollution concentrations and the renewable resource stock are modeled as stochastic processes. Conditions for the optimal harvest plan and the optimal emissions rate are...

The paper operationalizes the notion of shortage cost by considering the behavior of customers and competing firms and examines the role of inventory in response time competition. We start with a single-firm production control model in which customers are characterized by their preferences of...