Utility maximization problem with transaction costs: optimal dual processes and stability

DOI10.1007/s00245-020-09699-8zbMath1471.91540arXiv1710.04363OpenAlexW3043754144MaRDI QIDQ2232781

Lingqi Gu, Junjian Yang, Yi-Qing Lin

Publication date: 8 October 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1710.04363

zbMATH Keywords

stabilitytransaction costsutility maximization problemoptimal dual processesshadow price processes

Mathematics Subject Classification ID

Generalizations of martingales (60G48) Financial applications of other theories (91G80) Duality theory (optimization) (49N15) Financial markets (91G15)

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