{"title":"Bellman equations for terminal utility maximization with general bid and ask prices","authors":"T. Rogala, Ł. Stettner","doi":"10.19195/0208-4147.38.1.8","DOIUrl":null,"url":null,"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.","PeriodicalId":0,"journal":{"name":"","volume":null,"pages":null},"PeriodicalIF":0.0,"publicationDate":"2018-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.19195/0208-4147.38.1.8","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 0
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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