Consumption-investment problems with transaction costs: Survey and open problems (Q1974021)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consumption-investment problems with transaction costs: Survey and open problems |
scientific article |
Statements
Consumption-investment problems with transaction costs: Survey and open problems (English)
0 references
12 November 2000
0 references
This paper gives a survey of problems and methods contained in various works on consumption/investment problems without or with transaction costs in continuous time. The transaction costs are proportional, fixed and proportional, as a fixed proportion of wealth, taxes and transaction costs. The methods are optimal stopping, stochastic singular control, and stochastic impulse control. Some open problems in this area of research are also given.
0 references
consumption
0 references
investment
0 references
survey
0 references
transaction costs
0 references
optimal stopping
0 references
stochastic singular control
0 references
stochastic impulse control
0 references
