Viability and arbitrage under Knightian uncertainty

Citation:

Burzoni, Matteo, Frank Riedel, and H. Mete Soner. “Viability and arbitrage under Knightian uncertainty”. Econometrica (Forthcoming). Print.

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Viability

Last updated on 11/23/2020

Contact

Mete Soner, Professor

Department of Operations Research and Financial Engineering

Princeton University

Sherrerd Hall 225, Charlton Street

Princeton, NJ 08544

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Office: 225 Sherrerd Hall

Phone: 609-258-5130

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Recent Publications

Burzoni, Matteo, Frank Riedel, and H. Mete Soner. “Viability and arbitrage under Knightian uncertainty”. Econometrica (Forthcoming). Print.

Cheridito, Patrick, et al. “Martingale Optimal Transport Duality”. Mathematische Annalen (2020). Print.

MOT Duality.pdf

Keppo, Jussi, Max Reppen, and H. Mete Soner. “Discrete dividend payments in continuous time”. Mathematics of Operations Research (Forthcoming). Print.

Discrete Dividends.pdf

Bouchard, Bruno, et al. “Second order stochastic target problems with generalized market impact”. SIAM Journal on Control and Optimisation 57.6 (2019): , 57, 6, 4125-4149. Print.

Larsen, Kasper, H. Mete Soner, and Gordan Zitkovic. “Conditional Davis prices”. Finance & Stochastics (2020). Print.

Davis prices.pdf

Burzoni, Matteo, et al. “Viscosity solutions for controlled McKean–Vlasov jump-diffusions”. SIAM Journal on Control and Optimization 58.3 (2020): , 58, 3, 1676-1699. Print.

McKean-Vlasov with jumps.pdf

Reppen, Max, and H. Mete Soner. “Bias-Variance Trade-off and Overlearning in Dynamic Decision Problems”. (Submitted). Print.

Overlearning.pdf