DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS (Q5422630)
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scientific article; zbMATH DE number 5205655
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English | DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS |
scientific article; zbMATH DE number 5205655 |
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DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS (English)
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29 October 2007
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utility maximization
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optimal investment and consumption
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market frictions
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convex duality
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Lagrangian semimartingale
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