Dual formulation of the utility maximization problem under transaction costs
type: Item
instance of: scholarly article
title: Dual formulation of the utility maximization problem under transaction costs
zbMATH Open document ID: 1012.60059
author: Griselda Deelstra
author: Huyên Pham
author: Nizar Touzi
published in: The Annals of Applied Probability
publication date: 2003-05-06T00:00:00Z
Mathematics Subject Classification ID: 60H30
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 1906219
zbMATH Keywords: utility maximization
zbMATH Keywords: transaction costs
zbMATH Keywords: dual formulation
zbMATH Keywords: nonsmooth analysis
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aoap/1015345406
OpenAlex ID: W2101137376
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DOI: 10.1214/AOAP/1015345406
description: scientific article; zbMATH DE number 1906219