Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Utility maximization problem under transaction costs: optimal dual
  processes and stability   This paper discusses the num\'eraire-based utility maximization problem in
markets with proportional transaction costs. In particular, the investor is
required to liquidate all her position in stock at the terminal time. We first
observe the stability of the primal and dual value functions as well as the
convergence of the primal and dual optimizers when perturbations occur on the
utility function and on the physical probability. We then study the properties
of the optimal dual process (ODP), that is, a process from the dual domain that
induces the optimality of the dual problem. When the market is driven by a
continuous process, we construct the ODP for the problem in the limiting market
by a sequence of ODPs corresponding to the problems with small misspecificated
parameters. Moreover, we prove that this limiting ODP defines a shadow price.

28
The categories of this paper are: alg-geom
22
The categories of this paper are: chao-dyn
27
The categories of this paper are: comp-gas
12
The categories of this paper are: nucl-th
1
The categories of this paper are: cs
23
The categories of this paper are: solv-int
15
The categories of this paper are: nucl-ex
37
The categories of this paper are: supr-con
32
The categories of this paper are: atom-ph
35
The categories of this paper are: mtrl-th
10
The categories of this paper are: q-bio
29
The categories of this paper are: funct-an
33
The categories of this paper are: plasm-ph
16
The categories of this paper are: stat
19
The categories of this paper are: eess
21
The categories of this paper are: adap-org