Paul Gassiat

Publication Activity (10 Years)

Years Active: 2014-2023
Publications (10 Years): 1

Top Topics

Utility Maximization

Trading Strategies

Linear Complexity

Top Venues

Finance Stochastics

J. Optim. Theory Appl.

SIAM J. Financial Math.

SIAM J. Control. Optim.

Publications

Paul Gassiat
Weak Error Rates of Numerical Schemes for Rough Volatility. SIAM J. Financial Math. 14 (2) (2023)
Salvatore Federico, Paul Gassiat, Fausto Gozzi
Utility maximization with current utility on the wealth: regularity of solutions to the HJB equation. Finance Stochastics 19 (2) (2015)
Salvatore Federico, Paul Gassiat
Viscosity Characterization of the Value Function of an Investment-Consumption Problem in Presence of an Illiquid Asset. J. Optim. Theory Appl. 160 (3) (2014)
Paul Gassiat, Fausto Gozzi, Huyên Pham
Investment/Consumption Problem in Illiquid Markets with Regime-Switching. SIAM J. Control. Optim. 52 (3) (2014)