Utility maximization in an illiquid market in continuous time
type: Item
instance of: scholarly article
title: Utility maximization in an illiquid market in continuous time
zbMATH Open document ID: 1371.91169
author: Mirjana Vukelja
author: H. Mete Soner
published in: Mathematical Methods of Operations Research
publication date: 2016-11-29T00:00:00Z
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 93E20
zbMATH DE Number: 6657187
zbMATH Keywords: liquidity risk
zbMATH Keywords: price impact
zbMATH Keywords: weak dynamic programming
zbMATH Keywords: Hamilton-Jacobi-Bellman equation
zbMATH Keywords: viscosity solution
zbMATH Keywords: comparison theorem
MaRDI profile type: Publication
full work available at URL: s00186-016-0544-2
OpenAlex ID: W2405210753
Wikidata QID: Q57635853
cites work: Q3355178
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cites work: Optimal Control with State-Space Constraint I
cites work: Utility maximization in an illiquid market
DOI: 10.1007/S00186-016-0544-2
description: scientific article; zbMATH DE number 6657187