Utility maximization problem with transaction costs: optimal dual processes and stability

DOI10.1007/s00245-020-09699-8zbMath1471.91540arXiv1710.04363MaRDI QIDQ2232781

Lingqi Gu, Junjian Yang, Yi-Qing Lin

Publication date: 8 October 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.04363

zbMATH Keywords

stability; transaction costs; utility maximization problem; optimal dual processes; shadow price processes

Mathematics Subject Classification ID

60G48: Generalizations of martingales

91G80: Financial applications of other theories

49N15: Duality theory (optimization)

91G15: Financial markets

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