Optimal consumption and portfolio with both fixed and proportional transaction costs

SIAM Journal on Control and Optimization

Volumn 40, Issue 6, 2002, Pages 1765-1790

  Øksendal, Bernt ^a,b   Sulem, Agnés ^c  

^a UNIVERSITY OF OSLO   (Norway)

^b NORWEGIAN SCHOOL OF ECONOMICS   (Norway)

^c INRIA   (France)

Author keywords

Impulse control; Portfolio selection; Quasi variational inequalities; Transaction cost; Viscosity solutions

Indexed keywords

GEOMETRY; INVENTORY CONTROL; MATHEMATICAL MODELS; NONLINEAR SYSTEMS; NUMERICAL METHODS; OPTIMIZATION; PROBLEM SOLVING; VARIATIONAL TECHNIQUES;

HAMILTON-JACOBI-BELLMAN INEQUALITY; IMPULSE CONTROL; PORTFOLIO SELECTION; QUASI-VARIATIONAL INEQUALITIES; TRANSACTION COST; VISCOSITY SOLUTIONS;

STOCHASTIC CONTROL SYSTEMS;

EID: 0036929730     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012900376013     Document Type: Article

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