Numerical solution of an optimal investment problem with proportional transaction costs (Q415202): Difference between revisions
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Property / author: Carlos Vázquez / rank | |||
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Property / Mathematics Subject Classification ID: 91G60 / rank | |||
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Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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Property / Mathematics Subject Classification ID: 35R35 / rank | |||
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Property / Mathematics Subject Classification ID: 65M60 / rank | |||
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Property / zbMATH DE Number: 6033725 / rank | |||
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optimal investment | |||
Property / zbMATH Keywords: optimal investment / rank | |||
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transaction costs | |||
Property / zbMATH Keywords: transaction costs / rank | |||
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double obstacle problems | |||
Property / zbMATH Keywords: double obstacle problems / rank | |||
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numerical methods | |||
Property / zbMATH Keywords: numerical methods / rank | |||
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characteristics scheme | |||
Property / zbMATH Keywords: characteristics scheme / rank | |||
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finite elements | |||
Property / zbMATH Keywords: finite elements / rank | |||
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Revision as of 20:28, 29 June 2023
scientific article
Language | Label | Description | Also known as |
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English | Numerical solution of an optimal investment problem with proportional transaction costs |
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Numerical solution of an optimal investment problem with proportional transaction costs (English)
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11 May 2012
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optimal investment
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transaction costs
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double obstacle problems
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numerical methods
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characteristics scheme
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finite elements
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