A spectral method for an optimal investment problem with transaction costs under potential utility

DOI10.1016/J.CAM.2017.01.015zbMath1360.91157arXiv1612.09469OpenAlexW2599366629MaRDI QIDQ515774

Javier de Frutos, Víctor Gatón

Publication date: 16 March 2017

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

Full work available at URL: https://arxiv.org/abs/1612.09469

zbMATH Keywords

spectral methodtransaction costsoptimal investmentpotential utility

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Optimal stochastic control (93E20) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Portfolio theory (91G10)

Related Items (2)

A pseudospectral method for option pricing with transaction costs under exponential utility ⋮ Chebyshev reduced basis function applied to option valuation

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