Asymptotics and duality for the Davis and Norman problem

Stochastics

Volumn 84, Issue 5-6, 2012, Pages 625-641

  Gerhold, Stefan ^a   Muhle Karbe, Johannes ^b   Schachermayer, Walter ^c  

^a VIENNA UNIVERSITY OF TECHNOLOGY   (Austria)

^b ETH ZURICH   (Switzerland)

^c UNIVERSITY OF VIENNA   (Austria)

Author keywords

asymptotics; optimal consumption; shadow price; transaction costs

Indexed keywords

EID: 84868331792     PISSN: 17442508     EISSN: 17442516     Source Type: Journal    
DOI: 10.1080/17442508.2011.619699     Document Type: Article

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