most citedComputation of the "Enrichment" of a Value Functions of an Optimization Problem on Cumulated Transaction-Costs through a Generalized Lax-Hopf Formula

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q-fin.CP2014★ 1 cited

Computation of the "Enrichment" of a Value Functions of an Optimization Problem on Cumulated Transaction-Costs through a Generalized Lax-Hopf Formula

Luxi Chen

The Lax-Hopf formula simplifies the value function of an intertemporal optimization (infinite dimensional) problem associated with a convex transaction-cost function which depends…