DUALITY IN OPTIMAL INVESTMENT AND CONSUMPTION PROBLEMS WITH MARKET FRICTIONS

DOI10.1111/j.1467-9965.2006.00301.xzbMath1186.91195OpenAlexW2030812943MaRDI QIDQ5422630

Irene Klein, L. C. G. Rogers

Publication date: 29 October 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00301.x

zbMATH Keywords

convex dualityutility maximizationmarket frictionsoptimal investment and consumptionLagrangian semimartingale

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Optimal stochastic control (93E20) Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

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