Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem

DOI10.1007/s11766-011-2294-5zbMath1265.91048MaRDI QIDQ453370

Chao Sun, Qunfang Bao, Jing-Yang Yang, Sheng-Hong Li

Publication date: 5 October 2012

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-011-2294-5

zbMATH Keywords

stochastic control; transaction costs; optimal investment; exponential utility function; double obstacle problem

Mathematics Subject Classification ID

91B16: Utility theory

91G10: Portfolio theory

35Q91: PDEs in connection with game theory, economics, social and behavioral sciences

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