Existence of solutions in non-convex dynamic programming and optimal investment
From MaRDI portal
Publication:513744
DOI10.1007/s11579-016-0176-6zbMath1401.90255arXiv1504.01903MaRDI QIDQ513744
Miklós Rásonyi, Teemu Pennanen, Ari-Pekka Perkkiö
Publication date: 7 March 2017
Published in: Mathematics and Financial Economics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1504.01903
stochastic optimizationdynamic programmingmathematical modelingnon-convex optimizationmarket frictionsilliquiditynon-concave utility functionsnon-convex utility function
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