On the game interpretation of a shadow price process in utility maximization problems under transaction costs

Dmitry B. Rokhlin

Year of publication:	2013
Authors:	Rochlin, Dmitri B.
Published in:	Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 17.2013, 4, p. 819-839
Subject:	transaction costs \| utility maximization \| shadow price process \| lower semicontinuous envelope \| saddle point \| duality \| Transaktionskosten \| Transaction costs \| Opportunitätskosten \| Opportunity cost \| Theorie \| Theory

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