Homogenization and asymptotics for small transaction costs

SIAM Journal on Control and Optimization

Volumn 51, Issue 4, 2013, Pages 2893-2921

  Soner, H Mete ^a,b   Touzi, Nizar ^c  

^a ETH ZURICH   (Switzerland)

^b SWISS FINANCE INSTITUTE   (Switzerland)

^c CENTRE DE MATHÉMATIQUES APPLIQUÉES   (France)

Author keywords

Asymptotic expansions; Homogenization; Transaction costs; Viscosity solutions

Indexed keywords

ASYMPTOTIC EXPANSION; CONVERGENCE TOOLS; HOMOGENIZATION THEORY; MULTI-DIMENSIONAL CASE; PROPORTIONAL TRANSACTION COSTS; TRANSACTION COST; UTILITY FUNCTIONS; VISCOSITY SOLUTIONS;

ASYMPTOTIC ANALYSIS; FINANCIAL DATA PROCESSING; HOMOGENIZATION METHOD; VISCOSITY;

COSTS;

EID: 84888857323     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/120870165     Document Type: Article

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