Stopping problems of certain multiplicative functionals and optimal investment with transaction costs

DOI10.1007/S00245-006-0868-2MaRDI QIDQ996069zbMATHOpenAlexFDO

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

Mathematics Subject Classification ID

Portfolio theory (91G10) Impulsive optimal control problems (49N25) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cited in

(7)

• Asymptotics of impulse control problem with multiplicative reward
• Multidimensional investment problem
• Optimal stopping of expected profit and cost yields in an investment under uncertainty
• Risk sensitive optimal stopping
• Risk-sensitive optimal stopping with unbounded terminal cost function
• Long-run risk-sensitive impulse control
• Risk-sensitive quasi-variational inequalities for optimal investment with general transaction costs

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