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Paul Gassiat
Publication Activity (10 Years)
Years Active: 2014-2023
Publications (10 Years): 1
Top Topics
Utility Maximization
Trading Strategies
Error Rate
Linear Complexity
Top Venues
Finance Stochastics
J. Optim. Theory Appl.
SIAM J. Financial Math.
SIAM J. Control. Optim.
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Publications
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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)