Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169): Difference between revisions

@@ Property / arXiv ID @@
+.04361
@@ Property / arXiv ID: 1501.04361 / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio choice with jumps: a closed-form solution
+Normal rank
@@ Property / cites work @@
+Robust consumption and portfolio policies when asset prices can jump
+Normal rank
@@ Property / cites work @@
+On an Investment-Consumption Model with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Viscosity solutions of nonlinear integro-differential equations
+Normal rank
@@ Property / cites work @@
+A new definition of viscosity solutions for a class of second-order degenerate elliptic integro-differential equations
+Normal rank
@@ Property / cites work @@
+A remark on the definitions of viscosity solutions for the integro-differential equations with Lévy operators
+Normal rank
@@ Property / cites work @@
+Q4695312
@@ Property / cites work: Q4695312 / rank @@
+Normal rank
@@ Property / cites work @@
+On the Dirichlet problem for second-order elliptic integro-differential equations
+Normal rank
@@ Property / cites work @@
+Second-order elliptic integro-differential equations: viscosity solutions' theory revisited
+Normal rank
@@ Property / cites work @@
+Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
+Normal rank
@@ Property / cites work @@
+Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
+Normal rank
@@ Property / cites work @@
+Multivariate utility maximization with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+Optimal portfolio allocation with higher moments
@@ Property / cites work: Optimal portfolio allocation with higher moments / rank @@
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal portfolios when stock prices follow an exponential Lévy process
+Normal rank
@@ Property / cites work @@
+Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Optimal control problem associated with jump processes
+Normal rank
@@ Property / cites work @@
+Continuous dependence estimates for viscosity solutions of integro-PDEs
+Normal rank
@@ Property / cites work @@
+Q3774629
@@ Property / cites work: Q3774629 / rank @@
+Normal rank
@@ Property / cites work @@
+A geometric approach to portfolio optimization in models with transaction costs
+Normal rank
@@ Property / cites work @@
+Markets with transaction costs. Mathematical theory.
+Normal rank
@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Equqtions D'Hamilton-Jacobi Du Premier Ordre Avec Termes Intégro-Différentiels
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+Optimal Control with State-Space Constraint. II
@@ Property / cites work: Optimal Control with State-Space Constraint. II / rank @@
+Normal rank
@@ Property / cites work @@
+Q3977319
@@ Property / cites work: Q3977319 / rank @@
+Normal rank