On an investment-consumption model with transaction costs

SIAM Journal on Control and Optimization

Volumn 34, Issue 1, 1996, Pages 329-364

  Akian, Marianne ^a   Menaldi, José Luis ^b   Sulem, Agnès ^a  

^a INRIA   (France)

^b WAYNE STATE UNIVERSITY   (United States)

Author keywords

Multigrid methods; Portfolio selection; Transaction costs; Variational inequality; Viscosity solution

Indexed keywords

ALGORITHMS; COSTS; DYNAMIC PROGRAMMING; FUNCTIONS; ITERATIVE METHODS; MATHEMATICAL MODELS; NUMERICAL METHODS; PUBLIC POLICY; VARIATIONAL TECHNIQUES;

INVESTMENT POLICY; MULTIGRID METHODS; PORTFOLIO SELECTION; TRANSACTION COSTS; VALUE FUNCTION; VARIATIONAL INEQUALITY; VISCOSITY SOLUTION;

OPTIMIZATION;

EID: 0029733474     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012993247159     Document Type: Article

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