A model for investment decisions with switching costs.

DOI10.1214/aoap/998926992zbMath1083.91055OpenAlexW2098244917MaRDI QIDQ1872483

Publication date: 6 May 2003

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

Full work available at URL: https://projecteuclid.org/euclid.aoap/998926992

zbMATH Keywords

geometric Brownian motion investment model stochastic impulse control problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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