In this paper, we study the problem of finding the minimal initial capital (i.e. super-replication value) needed in order to hedge (without risk) European contingent claims in a Markov setting under proportional transaction costs. The main result is that the cheapest (trivial) buy-and-hold...

We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...

We consider a lamellar phase of bilayer membranes held between two parallel plates and subject to a steady shear. Accounting for the coupling with the shear flow of the short wavelength undulation modes that are responsible for the membrane excess area, we argue that the flow generates an...

Recently, an alternative approach to the determination of the bending elastic constants of the surfactant film in droplet microemulsions was developed, which is based on a combination of neutron spin-echo spectroscopy (NSE) and dynamic light scattering (DLS). In this work the approach will be...

We study a generalization of the Merton's original problem of optimal consumption and portfolio choice for a single investor in an intertemporal economy. The agent trades between a bond and a stock account and he may consume out of his bond holdings. The price of the bond is deterministic as...

In this paper, we study the problem of finding the minimal initial capital (i.e. super-replication value) needed in order to hedge (without risk) European contingent claims in a Markov setting under proportional transaction costs. The main result is that the cheapest (trivial) buy-and-hold...