Stopping problems of certain multiplicative functionals and optimal investment with transaction costs
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Publication:996069
DOI10.1007/S00245-006-0868-2zbMATH Open1188.91204OpenAlexW2068416481MaRDI QIDQ996069FDOQ996069
Authors: Hideo Nagai 
Publication date: 11 September 2007
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-006-0868-2
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Portfolio theory (91G10) Impulsive optimal control problems (49N25) Stopping times; optimal stopping problems; gambling theory (60G40)
Cited In (7)
- Optimal stopping of expected profit and cost yields in an investment under uncertainty
- Multidimensional investment problem
- Asymptotics of impulse control problem with multiplicative reward
- Long-run risk-sensitive impulse control
- Risk sensitive optimal stopping
- Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs
- Risk-sensitive optimal stopping with unbounded terminal cost function
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