Asymptotics and duality for the Davis and Norman problem (Q3145080)

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Asymptotics and duality for the Davis and Norman problem
scientific article

    Statements

    title
    Asymptotics and duality for the Davis and Norman problem (English)
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    author
    Stefan Gerhold
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    Johannes Muhle-Karbe
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    Walter Schachermayer
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    published in
    Stochastics
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    publication date
    13 December 2012
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    zbMATH Keywords
    transaction costs
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    optimal consumption
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    shadow price
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    bid-ask spread
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    no-trade region
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    Merton problem
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    cites work
    Q5515607
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    Q5434578
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    Q4368791
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    Q4794152
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    Identifiers

    Mathematics Subject Classification ID
    91G10
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    91B16
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    60H10
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    zbMATH DE Number
    6115681
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    OpenAlex ID
    W1989764953
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    arXiv ID
    1010.0627
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