The impact of delivery lags on irreversible investment under uncertainty, European Journal of Operational Research, vol.136, issue.1, pp.173-180, 2002. ,
DOI : 10.1016/S0377-2217(01)00057-1
Portfolio Choice with Illiquid Assets, 2011. ,
DOI : 10.2139/ssrn.1697784
A remark on the definitions of viscosity solutions for the integro-differential equations with L??vy operators, Journal de Math??matiques Pures et Appliqu??es, vol.89, issue.6, pp.567-574, 2008. ,
DOI : 10.1016/j.matpur.2008.02.005
Error analysis of the optimal quantization algorithm for obstacle problems, Stochastic Processes and their Applications, vol.106, issue.1, pp.1-40, 2003. ,
DOI : 10.1016/S0304-4149(03)00026-7
URL : https://hal.archives-ouvertes.fr/hal-00103987
A quantization algorithm for solving multidimensional discrete-time optimal stopping problems, Bernoulli, vol.9, issue.6, pp.1003-1049, 2003. ,
DOI : 10.3150/bj/1072215199
URL : https://hal.archives-ouvertes.fr/hal-00104798
The law of the Euler scheme for stochastic differential equations, Probabillity Theory and Related Fields, pp.43-60, 1996. ,
DOI : 10.1007/BF01303802
URL : https://hal.archives-ouvertes.fr/inria-00074427
Hedging and Portfolio Optimization in Financial Markets with a Large Trader, Mathematical Finance, vol.14, issue.1, pp.1-18, 2004. ,
DOI : 10.1111/j.0960-1627.2004.00179.x
OPTIMAL TRADE EXECUTION IN ILLIQUID MARKETS, Mathematical Finance, vol.34, issue.3, pp.681-701, 2010. ,
DOI : 10.1111/j.1467-9965.2010.00446.x
URL : http://arxiv.org/abs/0902.2516
Stochastic optimal control: the discrete-time case, 0199. ,
On the Malliavin approach to Monte Carlo approximation of conditional expectations, Finance and Stochastics, vol.8, issue.1, pp.45-71, 2004. ,
DOI : 10.1007/s00780-003-0109-0
URL : https://hal.archives-ouvertes.fr/hal-00101982
Impulse control problem on finite horizon with execution delay, Stochastic Processes and their Applications, pp.1436-1469, 2007. ,
DOI : 10.1016/j.spa.2008.07.007
URL : https://hal.archives-ouvertes.fr/hal-00392640
Pricing Asset Scheduling Flexibility using Optimal Switching, Applied Mathematical Finance, vol.14, issue.5-6, pp.405-447, 2008. ,
DOI : 10.1137/S036301290038111X
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.380.4281
Discrete-time approximation of multidimensional BSDEs with oblique reflections, The Annals of Applied Probability, vol.22, issue.3, 2010. ,
DOI : 10.1214/11-AAP771
URL : https://hal.archives-ouvertes.fr/hal-00475628
Liquidity risk and arbitrage pricing theory, Finance and Stochastics, vol.8, issue.3, pp.311-341, 2004. ,
DOI : 10.1007/s00780-004-0123-x
An analysis of a least squares regression method for American option pricing, Finance and Stochastics, vol.6, issue.4, pp.449-471, 2002. ,
DOI : 10.1007/s007800200071
user's guide to viscosity solutions\\ of second order\\ partial
differential equations, Bulletin of the American Mathematical Society, vol.27, issue.1, pp.1-67, 1992. ,
DOI : 10.1090/S0273-0979-1992-00266-5
Optimal consumption policies in illiquid markets, Finance and Stochastics, vol.5, issue.1, pp.85-115, 2011. ,
DOI : 10.1007/s00780-010-0123-y
URL : https://hal.archives-ouvertes.fr/hal-00564205
A filtering approach to tracking volatility from prices observed at random times, The Annals of Applied Probability, vol.16, issue.3, pp.1633-1652, 2006. ,
DOI : 10.1214/105051606000000222
Portfolio Selection with Transaction Costs, Mathematics of Operations Research, vol.15, issue.4, pp.676-713, 1990. ,
DOI : 10.1287/moor.15.4.676
Pension funds with a minimum guarantee: a stochastic control approach, Finance and Stochastics, vol.32, issue.2, pp.297-342, 2011. ,
DOI : 10.1007/s00780-010-0127-7
Asset allocation and liquidity breakdowns: what if your broker does not answer the phone?, 2009. ,
A Finite Horizon Optimal Multiple Switching Problem, SIAM Journal on Control and Optimization, vol.48, issue.4, pp.2751-2770, 2009. ,
DOI : 10.1137/070697641
On optimal investment in a reinsurance context with a point process market model, Insurance: Mathematics and Economics, vol.47, issue.3, pp.315-326 ,
DOI : 10.1016/j.insmatheco.2010.07.006
A NONLINEAR FILTERING APPROACH TO VOLATILITY ESTIMATION WITH A VIEW TOWARDS HIGH FREQUENCY DATA, International Journal of Theoretical and Applied Finance, vol.04, issue.02, pp.199-210, 2001. ,
DOI : 10.1142/S021902490100095X
Portfolio Optimization under Partial Information with Expert Opinions, International Journal of Theoretical and Applied Finance, 2011. ,
Investment/Consumption Problem in Illiquid Markets with Regime-Switching, SIAM Journal on Control and Optimization, vol.52, issue.3, 2011. ,
DOI : 10.1137/120876976
URL : https://hal.archives-ouvertes.fr/hal-01021272
Time discretization and quantization methods for optimal multiple switching problem, Stochastic Processes and their Applications, vol.122, issue.5, 2011. ,
DOI : 10.1016/j.spa.2012.02.008
URL : https://hal.archives-ouvertes.fr/hal-00714224
OPTIMAL INVESTMENT ON FINITE HORIZON WITH RANDOM DISCRETE ORDER FLOW IN ILLIQUID MARKETS, International Journal of Theoretical and Applied Finance, vol.14, issue.01, pp.17-40, 2010. ,
DOI : 10.1142/S0219024911006243
URL : https://hal.archives-ouvertes.fr/hal-00403881
A corrected proof of the stochastic verification theorem within the framework of viscosity solutions, SIAM J. Control Optim, vol.43, 2005. ,
Erratum: "A Corrected Proof of the Stochastic Verification Theorem within the Framework of Viscosity Solutions", SIAM Journal on Control and Optimization, vol.48, issue.6, pp.4177-4179, 2010. ,
DOI : 10.1137/090775567
On the Starting and Stopping Problem: Application in Reversible Investments, Mathematics of Operations Research, vol.32, issue.1, pp.182-192, 2007. ,
DOI : 10.1287/moor.1060.0228
Switching problem and related system of reflected BSDEs, Stochastic Processes and their Applications, pp.403-426, 2010. ,
Multi-dimensional BSDE with oblique reflection and optimal switching, Probability Theory and Related Fields, pp.89-121, 2010. ,
DOI : 10.1007/s00440-009-0202-1
URL : https://hal.archives-ouvertes.fr/hal-00158569
Limit theorems for stochastic processes, 2003. ,
DOI : 10.1007/978-3-662-02514-7
Martingales and Arbitrage in Securities Markets with Transaction Costs, Journal of Economic Theory, vol.66, issue.1, pp.178-197, 1995. ,
DOI : 10.1006/jeth.1995.1037
MULTIPLICATIVE APPROXIMATION OF WEALTH PROCESSES INVOLVING NO-SHORT-SALES STRATEGIES VIA SIMPLE TRADING, Mathematical Finance, vol.237, issue.11, 2008. ,
DOI : 10.1111/j.1467-9965.2011.00511.x
Foundations of modern probability, Probability and its Applications, 2002. ,
DOI : 10.1007/978-1-4757-4015-8
Brownian motion and stochastic calculus, 1988. ,
DOI : 10.1007/978-1-4612-0949-2
Numerical methods for two-point boundary-value problems, 1992. ,
Numerical solution of stochastic differential equations, 1999. ,
Linear and quasilinear elliptic equations, Academic press, 1968. ,
Brownian Optimal Stopping and Random Walks, Applied Mathematics and Optimization, vol.45, issue.3, pp.283-324, 2002. ,
DOI : 10.1007/s00245-001-0033-7
URL : https://hal.archives-ouvertes.fr/hal-00693616
Option Pricing and Replication with Transactions Costs, The Journal of Finance, vol.7, issue.5, pp.1283-1301, 1985. ,
DOI : 10.1111/j.1540-6261.1985.tb02383.x
Calcul des prix et des sensibilite´s d'une option américaine par une méthode de Monte Carlo, 2002. ,
Asset Pricing in Markets with Illiquid Assets, SSRN Electronic Journal, 2005. ,
DOI : 10.2139/ssrn.687298
URL : http://citeseerx.ist.psu.edu/viewdoc/summary?doi=10.1.1.324.1293
Illiquidity effects in optimal consumption-investment problems, pp.1004-1489, 2010. ,
A model of optimal portfolio selection under liquidity risk and price impact, Finance and Stochastics, vol.11, issue.1, pp.51-90, 2007. ,
DOI : 10.1007/s00780-006-0025-1
URL : https://hal.archives-ouvertes.fr/hal-00011190
Explicit Solution to an Optimal Switching Problem in the Two???Regime Case, SIAM Journal on Control and Optimization, vol.46, issue.2, pp.395-426, 2007. ,
DOI : 10.1137/050638783
URL : https://hal.archives-ouvertes.fr/hal-00270392
Analyse numérique de problèmes de contrôle stochastique, 2005. ,
Optimal portfolio of low liquid assets with a log-utility function, Finance and Stochastics, vol.10, issue.1, pp.121-145, 2006. ,
DOI : 10.1007/s00780-005-0172-9
Optimum consumption and portfolio rules in a continuous-time model, Journal of Economic Theory, vol.3, issue.4, pp.373-413, 1971. ,
DOI : 10.1016/0022-0531(71)90038-X
Modèles à changements de régime, applications aux données financières, thèse de l, 2006. ,
Optimal Stochastic Impulse Control with Delayed Reaction, Applied Mathematics and Optimization, vol.8, issue.2, pp.243-255, 2008. ,
DOI : 10.1007/s00245-007-9034-5
Optimal quantization methods and applications to numerical problems in finance", Handbook of computational and numerical methods in finance, 2004. ,
AN OPTIMAL MARKOVIAN QUANTIZATION ALGORITHM FOR MULTI-DIMENSIONAL STOCHASTIC CONTROL PROBLEMS, Stochastics and Dynamics, vol.04, issue.04, pp.501-545, 2004. ,
DOI : 10.1142/S0219493704001231
Filtrage nonlinéaire et EDPS associées, Lect. Notes in Maths, vol.1464, pp.67-163, 1989. ,
Continuous time stochastic control and optimization with financial applications , Series SMAP, 2009. ,
DOI : 10.1007/978-3-540-89500-8
A MODEL OF OPTIMAL CONSUMPTION UNDER LIQUIDITY RISK WITH RANDOM TRADING TIMES, Mathematical Finance, vol.33, issue.4, pp.613-627, 2008. ,
DOI : 10.1111/j.1467-9965.2008.00350.x
URL : https://hal.archives-ouvertes.fr/hal-00330442
A Coupled System of Integrodifferential Equations Arising in Liquidity Risk Model, Applied Mathematics and Optimization, vol.33, issue.2, pp.147-173, 2009. ,
DOI : 10.1007/s00245-008-9046-9
URL : https://hal.archives-ouvertes.fr/hal-00401893
On investment-consumption with regime switching, pp.1107-1895, 2011. ,
The relaxed investor and parameter uncertainty, Finance and Stochastics, vol.5, issue.2, pp.131-154, 2001. ,
DOI : 10.1007/PL00013532
A Simple Model of Liquidity Effects, Advances in Finance and Stochastics: Essays in Honour of Dieter Sondermann, pp.161-176, 2002. ,
DOI : 10.1007/978-3-662-04790-3_9
Risk aversion and the dynamics of optimal liquidation strategies in??illiquid markets, Finance and Stochastics, vol.5, issue.2, pp.181-204, 2009. ,
DOI : 10.1007/s00780-008-0082-8
Illiquid assets and optimal portfolio choice, 2006. ,
DOI : 10.3386/w12633
EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING, Mathematical Finance, vol.42, issue.4, pp.251-279, 2009. ,
DOI : 10.1111/j.1467-9965.2009.00366.x
The Liquidity Discount, Mathematical Finance, vol.11, issue.4, pp.447-474, 2001. ,
DOI : 10.1111/1467-9965.00124
Stochastic controls, Hamiltonian systems and HJB equations, 1999. ,
Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters, SIAM Journal on Control and Optimization, vol.30, issue.3, pp.613-636, 1992. ,
DOI : 10.1137/0330035