Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem

Journal of Differential Equations

Volumn 246, Issue 4, 2009, Pages 1445-1469

  Dai, Min ^a   Yi, Fahuai ^b  

^a NATIONAL UNIVERSITY OF SINGAPORE   (Singapore)

^b SOUTH CHINA NORMAL UNIVERSITY   (China)

Author keywords

Double obstacle problem; Finite horizon; Free boundary; Optimal investment; Portfolio selection; Singular stochastic control; Transaction costs

Indexed keywords

EID: 58349103529     PISSN: 00220396     EISSN: 10902732     Source Type: Journal    
DOI: 10.1016/j.jde.2008.11.003     Document Type: Article

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