We consider the problem of optimal investment in a risky asset, and in derivatives written on the price process of this asset, when the underlying asset price process is a pure jump Lévy process. The duality approach of Karatzas and Shreve is used to derive the optimal consumption and...

This paper provides a characterization theorem for a complete securities market when security prices follow Itô processes on a multidimensional Brownian filtration. This characterization theorem is a special case of Harrison and Pliska (1983), and it clarifies a counterexample provided by...

This paper proves the existence of a general equilibrium in a financial model with transaction costs. The general equilibrium is shown to exist in a model with convex trading technology, in which the agents include consumers, production firms, brokers and dealers. When the trading technology is...

PCMs (Phase change materials) are used to enhance the thermal storage capacity of building walls, decrease indoor air temperature fluctuations, and shift peak heat transfer rates to off-peak times. PCM location within building walls is recognized to be critical for the optimum performance of the...

Phase change materials (PCMs) are used to enhance the thermal storage capacity of building walls. PCM incorporation into building walls poses several design challenges; a critical one being the integration method (e.g., micro- vs. macro-encapsulation) as well as the location of PCMs within the...

This article solves the portfolio choice problem in a multi-asset jump-diffusion model. We decompose the optimal portfolio weight into components that correspond to a collection of fictitious economies, one of which is a standard diffusion economy, and the others of which are pure-jump...

This article concerns the existence of equilibrium in a two-period model with general personal and corporate tax structures. We show that an equilibrium exists if there is a price system under which no consumer or firm has an arbitrage opportunity. The model can be modified to handle non convex...