Shadow price in the power utility case

DOI10.1214/14-AAP1058zbMath1338.91128arXiv1112.4385MaRDI QIDQ748318

Attila Herczegh, Vilmos Prokaj

Publication date: 20 October 2015

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1112.4385

zbMATH Keywords

transaction costsoptimal consumptionpower utilityshadow price process

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Utility theory (91B16) Portfolio theory (91G10)

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