scientific article; zbMATH DE number 5019866

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Publication:5290220

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zbMath1152.93057MaRDI QIDQ5290220

Zabczyk, Jerzy, Jan Palczewski

Publication date: 28 April 2006

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

Lévy processes transaction costs impulsive control portfolios

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Optimality conditions for problems involving randomness (49K45)

Related Items (3)

An implicit method for the finite time horizon Hamilton-Jacobi-Bellman quasi-variational inequalities ⋮ Curve following in illiquid markets ⋮ Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions

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