Consumption-investment problems with transaction costs: Survey and open problems

DOI10.1007/s001860050002zbMath0947.91042OpenAlexW1963846402MaRDI QIDQ1974021

Abel Cadenillas

Publication date: 12 November 2000

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001860050002

zbMATH Keywords

surveyoptimal stoppingtransaction costsinvestmentconsumptionstochastic impulse controlstochastic singular control

Mathematics Subject Classification ID

Stochastic systems and control (93E99) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Stopping times; optimal stopping problems; gambling theory (60G40)

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