{"title":"具有一般买卖价格的终端效用最大化的贝尔曼方程","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":48996,"journal":{"name":"Probability and Mathematical Statistics-Poland","volume":" ","pages":""},"PeriodicalIF":0.4000,"publicationDate":"2018-07-30","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"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\":48996,\"journal\":{\"name\":\"Probability and Mathematical Statistics-Poland\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":0.4000,\"publicationDate\":\"2018-07-30\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Probability and Mathematical Statistics-Poland\",\"FirstCategoryId\":\"100\",\"ListUrlMain\":\"https://doi.org/10.19195/0208-4147.38.1.8\",\"RegionNum\":4,\"RegionCategory\":\"数学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q4\",\"JCRName\":\"STATISTICS & PROBABILITY\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Probability and Mathematical Statistics-Poland","FirstCategoryId":"100","ListUrlMain":"https://doi.org/10.19195/0208-4147.38.1.8","RegionNum":4,"RegionCategory":"数学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q4","JCRName":"STATISTICS & PROBABILITY","Score":null,"Total":0}
Bellman equations for terminal utility maximization with general bid and ask prices
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 is published by the Kazimierz Urbanik Center for Probability and Mathematical Statistics, and is sponsored jointly by the Faculty of Mathematics and Computer Science of University of Wrocław and the Faculty of Pure and Applied Mathematics of Wrocław University of Science and Technology. The purpose of the journal is to publish original contributions to the theory of probability and mathematical statistics.
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