Almost log-optimal trading strategies for small transaction costs in model with stochastic coefficients

DOI10.14736/KYB-2022-6-0903OpenAlexW4319723791MaRDI QIDQ5878540

Petr Dostal

Publication date: 21 February 2023

Published in: Kybernetika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.14736/kyb-2022-6-0903

zbMATH Keywords

non-constant coefficientslogarithmic utility functionsmall transaction costs

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80)

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