Stopping problems of certain multiplicative functionals and optimal investment with transaction costs
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Publication:996069
DOI10.1007/s00245-006-0868-2zbMath1188.91204OpenAlexW2068416481MaRDI QIDQ996069
Publication date: 11 September 2007
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-006-0868-2
Stopping times; optimal stopping problems; gambling theory (60G40) Portfolio theory (91G10) Impulsive optimal control problems (49N25)
Related Items (4)
Asymptotics of impulse control problem with multiplicative reward ⋮ Long-Run Risk-Sensitive Impulse Control ⋮ Risk sensitive optimal stopping ⋮ Risk-sensitive optimal stopping with unbounded terminal cost function
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