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Utility Maximization Under Trading Constraints with Discontinuous Utility - MaRDI portal

Utility Maximization Under Trading Constraints with Discontinuous Utility (Q5742502)

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scientific article; zbMATH DE number 7054543
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English
Utility Maximization Under Trading Constraints with Discontinuous Utility
scientific article; zbMATH DE number 7054543

    Statements

    title
    Utility Maximization Under Trading Constraints with Discontinuous Utility (English)
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    author
    Baojun Bian
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    Xinfu Chen
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    Zuo Quan Xu
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    publication date
    14 May 2019
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    zbMATH Keywords
    discontinuous utility function
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    convex cone constraint
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    variational inequality
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    viscosity solution
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    stochastic control
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    cites work
    Q5436596
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    Q4368791
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    Identifiers

    DOI
    10.1137/18M1174659
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    Mathematics Subject Classification ID
    91G10
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    91B16
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    49L25
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    93E20
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    zbMATH DE Number
    7054543
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    OpenAlex ID
    W2922576597
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