Penalty methods for continuous-time portfolio selection with proportional transaction costs
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Publication:5411501
DOI10.21314/JCF.2010.221zbMath1284.91515MaRDI QIDQ5411501
Publication date: 23 April 2014
Published in: The Journal of Computational Finance (Search for Journal in Brave)
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
91B70: Stochastic models in economics
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
65C30: Numerical solutions to stochastic differential and integral equations
91G10: Portfolio theory
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