On the game interpretation of a shadow price process in utility maximization problems under transaction costs (Q377457)
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scientific article; zbMATH DE number 6223045
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| English | On the game interpretation of a shadow price process in utility maximization problems under transaction costs |
scientific article; zbMATH DE number 6223045 |
Statements
On the game interpretation of a shadow price process in utility maximization problems under transaction costs (English)
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6 November 2013
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transaction costs
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utility maximization
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shadow price process
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lower semicontinuous envelope
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saddle point
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duality
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0.8719560503959656
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0.85446697473526
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0.853234052658081
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0.8507898449897766
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0.8471496105194092
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