An expected exponential utility maximization problem for bitcoin miners
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Publication:6179932
DOI10.1007/s13160-023-00610-wOpenAlexW4386373362MaRDI QIDQ6179932
Publication date: 18 January 2024
Published in: Japan Journal of Industrial and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s13160-023-00610-w
Hamilton-Jacobi-Bellman equationexponential utilityoptimal investment strategyYor's formulabitcoin mining
Dynamic programming in optimal control and differential games (49L20) Utility theory (91B16) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Actuarial science and mathematical finance (91G99)
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