A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs (Q679585): Difference between revisions

@@ Property / cites work @@
+Optimum consumption and portfolio rules in a continuous-time model
+Normal rank
@@ Property / cites work @@
+Optimal Consumption and Investment with Fixed and Proportional Transaction Costs
+Normal rank
@@ Property / cites work @@
+Portfolio selection with transactions costs
@@ Property / cites work: Portfolio selection with transactions costs / 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 investment and consumption with transaction costs
+Normal rank
@@ Property / cites work @@
+Asymptotic analysis of optimal investment and consumption with transaction costs.
+Normal rank
@@ Property / cites work @@
+Balancing Small Transaction Costs with Loss of Optimal Allocation in Dynamic Stock Trading Strategies
+Normal rank
@@ Property / cites work @@
+On using shadow prices in portfolio optimization with transaction costs
+Normal rank
@@ Property / cites work @@
+Homogenization and Asymptotics for Small Transaction Costs
+Normal rank
@@ Property / cites work @@
+Numerical schemes for investment models with singular transactions
+Normal rank
@@ Property / cites work @@
+Q4356592
@@ Property / cites work: Q4356592 / rank @@
+Normal rank
@@ Property / cites work @@
+MULTIDIMENSIONAL PORTFOLIO OPTIMIZATION WITH PROPORTIONAL TRANSACTION COSTS
+Normal rank
@@ Property / cites work @@
+Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
+Normal rank
@@ Property / cites work @@
+Numerical solution of an optimal investment problem with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Finite Horizon Optimal Investment and Consumption with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Penalty methods for continuous-time portfolio selection with proportional transaction costs
+Normal rank
@@ Property / cites work @@
+Asymptotic Analysis for Optimal Investment in Finite Time with Transaction Costs
+Normal rank
@@ Property / cites work @@
+A probabilistic numerical method for fully nonlinear parabolic PDEs
+Normal rank
@@ Property / cites work @@
+A stochastic approximation for fully nonlinear free boundary parabolic problems
+Normal rank
@@ Property / cites work @@
+Characterization of Optimal Strategy for Multiasset Investment and Consumption with Transaction Costs
+Normal rank
@@ Property / cites work @@
+Controlled Markov processes and viscosity solutions
+Normal rank