Karel Janecek, Zheng Li, Mihai Sîrbu. Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model. SIAM J. Financial Math., 11(3):750-787, 2020. [doi]
@article{JanecekLS20,
title = {Optimal Investment with High-Watermark Fee in a Multidimensional Jump Diffusion Model},
author = {Karel Janecek and Zheng Li and Mihai Sîrbu},
year = {2020},
doi = {10.1137/18M1205066},
url = {https://doi.org/10.1137/18M1205066},
researchr = {https://researchr.org/publication/JanecekLS20},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {11},
number = {3},
pages = {750-787},
}