Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem

DOI10.1016/j.jde.2008.11.003zbMath1227.35182MaRDI QIDQ1006096

Min Dai, Fa-huai Yi

Publication date: 17 March 2009

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jde.2008.11.003

zbMATH Keywords

portfolio selection; singular stochastic control

Mathematics Subject Classification ID

35B65: Smoothness and regularity of solutions to PDEs

93E20: Optimal stochastic control

35R60: PDEs with randomness, stochastic partial differential equations

35R35: Free boundary problems for PDEs

91G10: Portfolio theory

35Q93: PDEs in connection with control and optimization

35K86: Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators

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