Robust Utility Maximization in Discrete-Time Markets with Friction

DOI10.1137/16M1101829zbMath1387.93189arXiv1610.09230MaRDI QIDQ4563374

Ariel Neufeld, Mario Šikić

Publication date: 1 June 2018

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1610.09230

zbMATH Keywords

robust optimizationutility maximizationfinancial markets with friction

Mathematics Subject Classification ID

Discrete-time control/observation systems (93C55) Optimal stochastic control (93E20) Auctions, bargaining, bidding and selling, and other market models (91B26)

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