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    Statements

    author
    Rajna Gibson Brandon
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    Benoîte De Saporta
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    Denis Talay
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    Etienne Tanré
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    publication date
    13 January 2010
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    Mathematics Subject Classification ID
    91G10
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    49L25
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    49J40
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    93E20
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    zbMATH DE Number
    5657858
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    zbMATH Keywords
    stochastic control
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    HJB inequalities
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    viscosity solutions
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    dynamic programming principe
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    portfolio allocation
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    transaction costs
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