Simple bounds for utility maximization with small transaction costs

DOI10.1016/j.spa.2022.01.008zbMath1485.91218arXiv1802.06120OpenAlexW3137095395MaRDI QIDQ2668493

Bruno Bouchard, Johannes Muhle-Karbe

Publication date: 7 March 2022

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1802.06120

zbMATH Keywords

asymptoticstransaction costsutility maximization

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic calculus of variations and the Malliavin calculus (60H07) Financial markets (91G15)

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