Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (Q453370): Difference between revisions
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Property / Mathematics Subject Classification ID: 91B16 / rank | |||
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Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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Property / Mathematics Subject Classification ID: 35Q91 / rank | |||
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Property / zbMATH DE Number: 6090915 / rank | |||
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optimal investment | |||
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transaction costs | |||
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double obstacle problem | |||
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stochastic control | |||
Property / zbMATH Keywords: stochastic control / rank | |||
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exponential utility function | |||
Property / zbMATH Keywords: exponential utility function / rank | |||
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Revision as of 10:59, 30 June 2023
scientific article
Language | Label | Description | Also known as |
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English | Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem |
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Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem (English)
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5 October 2012
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optimal investment
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transaction costs
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double obstacle problem
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stochastic control
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exponential utility function
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