FRINK Linked Data Fragments server

Matches in SemOpenAlex for { <https://semopenalex.org/work/W2909898066> ?p ?o ?g. }

• W2909898066 abstract "We provide an asymptotic expansion of the value function of a multidimensional utility maximization problem from consumption with small non-linear price impact. In our model cross-impacts between assets are allowed. In the limit for small price impact, we determine the asymptotic expansion of the value function around its frictionless version. The leading order correction is characterized by a nonlinear second order PDE related to an ergodic control problem and a linear parabolic PDE. We illustrate our result on a multivariate geometric Brownian motion price model." @default.
• W2909898066 created "2019-01-25" @default.
• W2909898066 creator A5005237318 @default.
• W2909898066 creator A5013308840 @default.
• W2909898066 creator A5016845762 @default.
• W2909898066 date "2018-11-16" @default.
• W2909898066 modified "2023-09-27" @default.
• W2909898066 title "Asymptotics for Small Nonlinear Price Impact: a PDE Approach to the Multidimensional Case" @default.
• W2909898066 cites W1507126399 @default.
• W2909898066 cites W1580148192 @default.
• W2909898066 cites W1914758076 @default.
• W2909898066 cites W1914796581 @default.
• W2909898066 cites W1976352744 @default.
• W2909898066 cites W1976551585 @default.
• W2909898066 cites W1988270113 @default.
• W2909898066 cites W1989002683 @default.
• W2909898066 cites W2001770658 @default.
• W2909898066 cites W2007849171 @default.
• W2909898066 cites W2032316144 @default.
• W2909898066 cites W2040582618 @default.
• W2909898066 cites W2072444746 @default.
• W2909898066 cites W2073415477 @default.
• W2909898066 cites W2078237894 @default.
• W2909898066 cites W2109011683 @default.
• W2909898066 cites W2110090571 @default.
• W2909898066 cites W2153310935 @default.
• W2909898066 cites W2156610674 @default.
• W2909898066 cites W2185072653 @default.
• W2909898066 cites W2268929863 @default.
• W2909898066 cites W2471741185 @default.
• W2909898066 cites W2505257925 @default.
• W2909898066 cites W2517735824 @default.
• W2909898066 cites W2524019229 @default.
• W2909898066 cites W2549076960 @default.
• W2909898066 cites W2572314577 @default.
• W2909898066 cites W2798737647 @default.
• W2909898066 cites W2945746271 @default.
• W2909898066 cites W2963332746 @default.
• W2909898066 cites W3121743528 @default.
• W2909898066 cites W3121773157 @default.
• W2909898066 cites W3122043345 @default.
• W2909898066 cites W3122304997 @default.
• W2909898066 cites W3122336827 @default.
• W2909898066 cites W3125045500 @default.
• W2909898066 cites W3125137895 @default.
• W2909898066 cites W3125566892 @default.
• W2909898066 cites W3125891678 @default.
• W2909898066 cites W3125973117 @default.
• W2909898066 cites W3126039549 @default.
• W2909898066 hasPublicationYear "2018" @default.
• W2909898066 type Work @default.
• W2909898066 sameAs 2909898066 @default.
• W2909898066 citedByCount "1" @default.
• W2909898066 countsByYear W29098980662019 @default.
• W2909898066 crossrefType "posted-content" @default.
• W2909898066 hasAuthorship W2909898066A5005237318 @default.
• W2909898066 hasAuthorship W2909898066A5013308840 @default.
• W2909898066 hasAuthorship W2909898066A5016845762 @default.
• W2909898066 hasConcept C10138342 @default.
• W2909898066 hasConcept C101615488 @default.
• W2909898066 hasConcept C105795698 @default.
• W2909898066 hasConcept C112401455 @default.
• W2909898066 hasConcept C11683690 @default.
• W2909898066 hasConcept C121332964 @default.
• W2909898066 hasConcept C122044880 @default.
• W2909898066 hasConcept C126255220 @default.
• W2909898066 hasConcept C134306372 @default.
• W2909898066 hasConcept C136264566 @default.
• W2909898066 hasConcept C14036430 @default.
• W2909898066 hasConcept C144237770 @default.
• W2909898066 hasConcept C14646407 @default.
• W2909898066 hasConcept C149782125 @default.
• W2909898066 hasConcept C151201525 @default.
• W2909898066 hasConcept C158622935 @default.
• W2909898066 hasConcept C161584116 @default.
• W2909898066 hasConcept C162324750 @default.
• W2909898066 hasConcept C182306322 @default.
• W2909898066 hasConcept C2776330181 @default.
• W2909898066 hasConcept C2779044140 @default.
• W2909898066 hasConcept C2780378061 @default.
• W2909898066 hasConcept C28826006 @default.
• W2909898066 hasConcept C2985793214 @default.
• W2909898066 hasConcept C33923547 @default.
• W2909898066 hasConcept C62520636 @default.
• W2909898066 hasConcept C68710425 @default.
• W2909898066 hasConcept C78458016 @default.
• W2909898066 hasConcept C86803240 @default.
• W2909898066 hasConceptScore W2909898066C10138342 @default.
• W2909898066 hasConceptScore W2909898066C101615488 @default.
• W2909898066 hasConceptScore W2909898066C105795698 @default.
• W2909898066 hasConceptScore W2909898066C112401455 @default.
• W2909898066 hasConceptScore W2909898066C11683690 @default.
• W2909898066 hasConceptScore W2909898066C121332964 @default.
• W2909898066 hasConceptScore W2909898066C122044880 @default.
• W2909898066 hasConceptScore W2909898066C126255220 @default.
• W2909898066 hasConceptScore W2909898066C134306372 @default.
• W2909898066 hasConceptScore W2909898066C136264566 @default.
• W2909898066 hasConceptScore W2909898066C14036430 @default.
• W2909898066 hasConceptScore W2909898066C144237770 @default.
• W2909898066 hasConceptScore W2909898066C14646407 @default.

• next