Czasopisma Naukowe w Sieci (CNS)

Bellman equations for terminal utility maximization with general bid and ask prices

  1. Tomasz Rogala
  2. Łukasz Stettner


In the paper we solve a system of Bellman equations for finite horizon continuous time terminal utility maximization problem with general càdlàg bid and ask prices. We assume that we have a restricted number of transactions at time moments we choose. The main result of the paper says that we can find a regular version of solutions to the system of Bellman equations, which enables us to find the form of nearly optimal strategies.

Pobierz artykuł

Ten artykuł

Probability and Mathematical Statistics

38, z. 1, 2018

Strony od 139 do 155

Inne artykuły autorów

Google Scholar


Twoj koszyk (produkty: 0)

Brak produktów w koszyku

Twój koszyk Do kasy