A spectral method for an Optimal Investment problem with transaction costs under Potential Utility
Author:
Funder
Spanish MINECO
Publisher
Elsevier BV
Subject
Applied Mathematics,Computational Mathematics
Reference23 articles.
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3. Finite-Horizon optimal investment with transaction costs: A parabolic double obstacle problem;Day;J. Differential Equations,2009
4. Numerical solution of an optimal investment problem with proportional transaction costs;Arregui;J. Comput. Appl. Math.,2012
5. Empirical martingale simulation;Simonato;Manage. Sci.,1998
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1. A pseudospectral method for option pricing with transaction costs under exponential utility;Journal of Computational and Applied Mathematics;2021-10
2. The spectral linear filter method for a stochastic optimal control problem of partially observable systems;Optimal Control Applications and Methods;2019-11-19
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