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

  1. Tomasz Rogala
  2. Łukasz Stettner

Abstract

 

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.

 

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Probability and Mathematical Statistics

38, z. 1, 2018

Pages from 139 to 155

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