Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case (Q3467559): Difference between revisions

@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
+Normal rank
@@ Property / OpenAlex ID @@
+W1914758076
@@ Property / OpenAlex ID: W1914758076 / rank @@
+Normal rank
@@ Property / arXiv ID @@
+.6275
@@ Property / arXiv ID: 1212.6275 / rank @@
+Normal rank
@@ Property / cites work @@
+Multi‐asset portfolio optimization with transaction cost
+Normal rank
@@ Property / cites work @@
+Discontinuous solutions of deterministic optimal stopping time problems
+Normal rank
@@ Property / cites work @@
+Some solvable stochastic control problemst<sup>†</sup>
+Normal rank
@@ Property / cites work @@
+Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Rates of convergence for the homogenization of fully nonlinear uniformly elliptic PDE in random media
+Normal rank
@@ Property / cites work @@
+User’s guide to viscosity solutions of second order partial differential equations
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Transaction Costs
@@ Property / cites work: Portfolio Selection with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+European Option Pricing with Transaction Costs
@@ Property / cites work: European Option Pricing with Transaction Costs / rank @@
+Normal rank
@@ Property / cites work @@
+The perturbed test function method for viscosity solutions of nonlinear PDE
+Normal rank
@@ Property / cites work @@
+Periodic homogenisation of certain fully nonlinear partial differential equations
+Normal rank
@@ Property / cites work @@
+Asymptotic expansions for Markov processes with Lévy generators
+Normal rank
@@ Property / cites work @@
+Q3692136
@@ Property / cites work: Q3692136 / rank @@
+Normal rank
@@ Property / cites work @@
+Balancing Small Transaction Costs with Loss of Optimal Allocation in Dynamic Stock Trading Strategies
+Normal rank
@@ Property / cites work @@
+The Eigenvalue Problem of Singular Ergodic Control
+Normal rank
@@ Property / cites work @@
+Analysis of Hamilton-Jacobi-Bellman equations arising in stochastic singular control
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis of optimal investment and consumption with transaction costs.
+Normal rank
@@ Property / cites work @@
+Markets with transaction costs. Mathematical theory.
+Normal rank
@@ Property / cites work @@
+An Asymptotic Analysis of Hierarchical Control of Manufacturing Systems Under Uncertainty
+Normal rank
@@ Property / cites work @@
+Homogenization of degenerate second-order PDE in periodic and almost periodic environments and applications
+Normal rank
@@ Property / cites work @@
+Portfolio selection with transactions costs
@@ Property / cites work: Portfolio selection with transactions costs / rank @@
+Normal rank
@@ Property / cites work @@
+Singular ergodic control for multidimensional Gaussian processes
+Normal rank
@@ Property / cites work @@
+Q4794152
@@ Property / cites work: Q4794152 / rank @@
+Normal rank
@@ Property / cites work @@
+MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+Turnpike Sets and Their Analysis in Stochastic Production Planning Problems
+Normal rank
@@ Property / cites work @@
+Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
+Normal rank
@@ Property / cites work @@
+A free boundary problem related to singular stochastic control: the parabolic case
+Normal rank
@@ Property / cites work @@
+Optimal investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+Singular Perturbations in Manufacturing
@@ Property / cites work: Singular Perturbations in Manufacturing / rank @@
+Normal rank
@@ Property / cites work @@
+There is no nontrivial hedging portfolio for option pricing with transaction costs
+Normal rank
@@ Property / cites work @@
+Homogenization and Asymptotics for Small Transaction Costs
+Normal rank
@@ Property / cites work @@
+An Asymptotic Analysis of an Optimal Hedging Model for Option Pricing with Transaction Costs
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:3467559