Delta family approach for the stochastic control problems of utility maximization
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- Han, Jinhui & Li, Xiaolong & Ma, Guiyuan & Kennedy, Adrian Patrick, 2023. "Strategic trading with information acquisition and long-memory stochastic liquidity," European Journal of Operational Research, Elsevier, vol. 308(1), pages 480-495.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2022-05-09 (Operations Research)
- NEP-UPT-2022-05-09 (Utility Models and Prospect Theory)
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