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

• Autorzy: Rogala T. , Stettner Ł.

Identyfikatory

DOI

10.19195/0208-4147.38.1.8

• Języki publikacji: EN

Abstrakty

EN

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.

Słowa kluczowe

EN

Bellman equation; bid prices; ask prices; optimal stopping; terminal utility maximization

• Wydawca: Wrocław University of Science and Technology
• Czasopismo: Probability and Mathematical Statistics
• Rocznik: 2018
• Tom: Vol. 38, Fasc. 1
• Strony: 139--155
• Opis fizyczny: Bibliogr. 15 poz.

Twórcy

autor

Rogala T.

• Institute of Mathematics, Polish Academy of Sciences, ul. Śniadeckich 8, 00-656 Warsaw, Poland

autor

Stettner Ł.

• Institute of Mathematics, Polish Academy of Sciences (also Vistula University), ul. Śniadeckich 8, 00-656 Warsaw, Poland

Bibliografia

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Uwagi

Opracowanie rekordu w ramach umowy 509/P-DUN/2018 ze środków MNiSW przeznaczonych na działalność upowszechniającą naukę (2019).