Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169): Difference between revisions
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Revision as of 00:57, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consumption-investment problem with transaction costs for Lévy-driven price processes |
scientific article |
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Consumption-investment problem with transaction costs for Lévy-driven price processes (English)
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7 September 2016
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consumption-investment problem
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stochastic integro-differential equation
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optimal control
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Lévy process
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transaction costs
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Bellman function
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dynamic programming
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HJB equation
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viscosity solution
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Lyapunov function
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