Impulsive control of portfolios (Q2384779): Difference between revisions

In this paper, a general model of a market with asset prices and economical factors of Markovian structure is considered. The problem is to maximize a given infinite horizon reward functional by changing portfolio strategy of impulsive form with transaction cost. Under mild conditions, the authors proved that there exists an optimal impulse strategy and the value function is a solution of Bellman equation which corresponds to suitable quasi-variational inequalities. Various examples are presented.