Rokhlin, Dmitry B. - arXiv.org - 2011
To any utility maximization problem under transaction costs one can assign a frictionless model with a price process $S^*$, lying in the bid/ask price interval $[\underline S, \bar{S}]$. Such process $S^*$ is called a \emph{shadow price} if it provides the same optimal utility value as in the...