Dual formulation of the utility maximization problem under transaction costs

DOI10.1214/aoap/1015345406zbMath1012.60059OpenAlexW2101137376MaRDI QIDQ1872433

Griselda Deelstra, Huyên Pham, Nizar Touzi

Publication date: 6 May 2003

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

Full work available at URL: https://doi.org/10.1214/aoap/1015345406

zbMATH Keywords

nonsmooth analysistransaction costsutility maximizationdual formulation

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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Cites Work

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