Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem (Q1006096): Difference between revisions

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+On an Investment-Consumption Model with Transaction Costs
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+Some solvable stochastic control problemst<sup>†</sup>
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+Utility maximization on the real line under proportional transaction costs
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+HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH<sup>1</sup><sup>2</sup>
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+Finite Horizon Optimal Investment and Consumption with Transaction Costs
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+Portfolio Selection with Transaction Costs
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+European Option Pricing with Transaction Costs
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+Q3240966
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+Controlled Markov processes and viscosity solutions
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+Optimal investment with transaction costs and without semimartingales
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+Necessary conditions for the existence of utility maximizing strategies under transaction costs
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+A geometric approach to portfolio optimization in models with transaction costs
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+Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
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+The preferability of investment through a mutual fund
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+On some degenerate parabolic equations II
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+Optimum consumption and portfolio rules in a continuous-time model
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+Q4172681
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+Optimal investment and consumption with transaction costs
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