Optimal investment and consumption with transaction costs

DOI10.1214/AOAP/1177004966zbMath0813.60051OpenAlexW1976352744WikidataQ56906975 ScholiaQ56906975MaRDI QIDQ1336583

Halil Mete Soner, Steven E. Shreve

Publication date: 22 November 1994

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1177004966

zbMATH Keywords

utility functiongeometric Brownian motionoptimal investment and consumption

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)

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