Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem
type: Item
instance of: scholarly article
title: Optimal investment with transaction costs based on exponential utility function: a parabolic double obstacle problem
zbMATH Open document ID: 1265.91048
author: Qunfang Bao
author: Chao Sun
author: Jing-Yang Yang
author: Shenghong Li
published in: Applied Mathematics. Series B (English Edition)
publication date: 2012-10-05T00:00:00Z
Mathematics Subject Classification ID: 91B16
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 35Q91
zbMATH DE Number: 6090915
zbMATH Keywords: optimal investment
zbMATH Keywords: transaction costs
zbMATH Keywords: double obstacle problem
zbMATH Keywords: stochastic control
zbMATH Keywords: exponential utility function
MaRDI profile type: Publication
full work available at URL: s11766-011-2294-5
OpenAlex ID: W1971381832
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DOI: 10.1007/S11766-011-2294-5
description: scientific article; zbMATH DE number 6090915