Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem
DOI10.1007/S11766-011-2294-5zbMATH Open1265.91048OpenAlexW1971381832MaRDI QIDQ453370FDOQ453370
Chao Sun, Qunfang Bao, Jing-Yang Yang, Shenghong 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
stochastic controltransaction costsoptimal investmentexponential utility functiondouble obstacle problem
PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Portfolio theory (91G10) Utility theory (91B16)
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