Shadow price in the power utility case (Q748318)

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Shadow price in the power utility case
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    title
    Shadow price in the power utility case (English)
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    DOI
    10.1214/14-AAP1058
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    author
    Attila Herczegh
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    Vilmos Prokaj
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    publication date
    20 October 2015
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    Mathematics Subject Classification ID
    91G10
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    91B16
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    60H10
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    zbMATH DE Number
    6496386
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    zbMATH Keywords
    shadow price process
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    transaction costs
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    optimal consumption
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    power utility
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