scientific article; zbMATH DE number 6919720

zbMath1411.91528MaRDI QIDQ4581306

Tomasz Rogala, Łukasz Stettner

Publication date: 16 August 2018

Full work available at URL: http://www.math.uni.wroc.pl/~pms/publicationsArticle.php?nr=38.1&nrA=8&ppB=139&ppE=155

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Bellman equationoptimal stoppingbid and ask pricesterminal utility maximization

Mathematics Subject Classification ID

Utility theory (91B16) Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10)

Cites Work

• Construction of discrete time shadow price
• Convex analysis and measurable multifunctions
• An elementary approach to a Girsanov formula and other analytical results on fractional Brownian motions
• Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility
• Temps d'arrÊt optimal, théorie générale des processus et processus de Markov
• [https://portal.mardi4nfdi.de/wiki/Publication:4170005 Calcul stochastique d�pendant d'un param�tre]
• Asymptotics of HARA Utility from Terminal Wealth under Proportional Transaction Costs with Decision Lag or Execution Delay and Obligatory Diversification
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