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On convergence of the Mayer problems arising in the theory of financial markets with transaction cost

Author

Listed:
  • Yuri Kabanov
  • Artur Sidorenko

Abstract

The geometric approach to financial markets with proportional transaction cost prescribes to imbed a specific model (of stock market, of currency market etc.), usually given in a parametric form, into a natural framework defined by the two random processes, S and K. The first one, d-dimensional, models the price evolution of basic securities while the second one, cone-valued, describes the evolution of the solvency set. It happened that the fundamental questions -- no-arbitrage criteria, hedging problems, portfolio optimization -- can be studied in this general setting opening the door to set-valued techniques. In this note we explore, in such a general framework, the stochastic Mayer control problem, consisting in the maximization of the expected utility of the portfolio terminal wealth. We get results on continuity of the optimal value and the optimal control under price approximations in a general multi-asset framework described by the geometric formalism.

Suggested Citation

  • Yuri Kabanov & Artur Sidorenko, 2026. "On convergence of the Mayer problems arising in the theory of financial markets with transaction cost," Papers 2605.11717, arXiv.org.
    • Handle: RePEc:arx:papers:2605.11717
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    References listed on IDEAS

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