Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem

DOI10.1007/S11766-011-2294-5zbMath1265.91048OpenAlexW1971381832MaRDI QIDQ453370

Chao Sun, Qunfang Bao, Jing-Yang Yang, Sheng-Hong Li

Publication date: 5 October 2012

Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11766-011-2294-5

zbMATH Keywords

stochastic controltransaction costsoptimal investmentexponential utility functiondouble obstacle problem

Mathematics Subject Classification ID

Utility theory (91B16) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Cites Work

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