REAL

Skorohod's representation theorem and optimal strategies for markets with frictions

Chau, Ngoc Huy and Rásonyi, Miklós (2017) Skorohod's representation theorem and optimal strategies for markets with frictions. SIAM JOURNAL ON CONTROL AND OPTIMIZATION, 55 (6). pp. 3592-3608. ISSN 0363-0129

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Abstract

We prove the existence of optimal strategies for agents with cumulative prospect theory preferences who trade in a continuous-time illiquid market, transcending known results which previously pertained only to risk-averse utility maximizers. The arguments exploit an extension of Skorohod's representation theorem for tight sequences of probability measures. This method is applicable in a number of similar optimization problems. © 2017 Society for Industrial and Applied Mathematics.

Item Type: Article
Uncontrolled Keywords: Commerce; representation theorem; Probability measures; Optimization problems; Cumulative prospect theory; Optimal systems; Friction; Continuous time systems; Skorohod's representation; Optimization; Nonconcave utility; Market frictions; Illiquidity
Subjects: Q Science / természettudomány > QA Mathematics / matematika
SWORD Depositor: MTMT SWORD
Depositing User: MTMT SWORD
Date Deposited: 18 Jan 2018 15:30
Last Modified: 18 Jan 2018 15:30
URI: http://real.mtak.hu/id/eprint/72708

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