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Yaroslav Melnyk

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Related publications (2)

Please note that this is not a complete list of this person’s publications. It includes only semantically relevant works. For a full list, please refer to Infoscience.

Stochastic impulse control with regime-switching dynamics

Yaroslav Melnyk

Optimal product management problems with multiple product generations in continuous time lead to the consideration of dynamic optimal control problems that feature both intervention costs and partially controlled regime shifts. We therefore investigate and ...

Elsevier Science Bv2017

Lifetime investment and consumption with recursive preferences and small transaction costs

Yaroslav Melnyk, Johannes Muhle-Karbe

We investigate the effects of small proportional transaction costs on lifetime consumption and portfolio choice. The extant literature has focused on agents with additive utilities. Here, we extend this analysis to the archetype of nonadditive preferences: ...

WILEY2020