Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (Q453370): Difference between revisions

@@ Property / author @@
-Jing-Yang Yang
@@ Property / author: Jing-Yang Yang / rank @@
-Normal rank
@@ Property / author @@
-Sheng-Hong Li
@@ Property / author: Sheng-Hong Li / rank @@
-Normal rank
@@ Property / author @@
+Jing-Yang Yang
@@ Property / author: Jing-Yang Yang / rank @@
+Normal rank
@@ Property / author @@
+Sheng-Hong Li
@@ Property / author: Sheng-Hong Li / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B16
@@ Property / Mathematics Subject Classification ID: 91B16 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+Q91
@@ Property / Mathematics Subject Classification ID: 35Q91 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6090915
@@ Property / zbMATH DE Number: 6090915 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+optimal investment
@@ Property / zbMATH Keywords: optimal investment / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+transaction costs
@@ Property / zbMATH Keywords: transaction costs / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+double obstacle problem
@@ Property / zbMATH Keywords: double obstacle problem / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+stochastic control
@@ Property / zbMATH Keywords: stochastic control / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+exponential utility function
@@ Property / zbMATH Keywords: exponential utility function / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / full work available at URL @@
+https://doi.org/10.1007/s11766-011-2294-5
+Normal rank
@@ Property / OpenAlex ID @@
+W1971381832
@@ Property / OpenAlex ID: W1971381832 / rank @@
+Normal rank
@@ Property / cites work @@
+Bounds on process of contingent claims in an intertemporal economy with proportional transaction costs and general preferences
+Normal rank
@@ Property / cites work @@
+On dynamic measure of risk
@@ Property / cites work: On dynamic measure of risk / rank @@
+Normal rank
@@ Property / cites work @@
+A closed-form solution to the problem of super-replication under transaction costs
+Normal rank
@@ Property / cites work @@
+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+A note on super-replicating strategies
@@ Property / cites work: A note on super-replicating strategies / rank @@
+Normal rank
@@ Property / cites work @@
+Q4218383
@@ Property / cites work: Q4218383 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Methods for Stochastic Control Problems in Continuous Time
+Normal rank
@@ Property / cites work @@
+Q4218394
@@ Property / cites work: Q4218394 / rank @@
+Normal rank
@@ Property / cites work @@
+Numerical Methods for Stochastic Singular Control Problems
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+There is no nontrivial hedging portfolio for option pricing with transaction costs
+Normal rank
@@ Property / cites work @@
+A variational inequality arising from European option pricing with transaction costs
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:453370