Basic properties of value function on asset optimization

MaRDI QIDQ2766020zbMATH OpenFDO

Authors Shimeng Xu, Junhong Liu

Publication date 21 May 2002

Published in Control Theory \& Applications (Search for Journal in Brave)

zbMATH Keywords

asset optimizationtransaction costsvalue functionviscosity solution

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Recommendations

• On an Investment-Consumption Model with Transaction Costs
• Optimal investment and consumption with transaction costs
• Numerical Methods for an Optimal Investment-Consumption Model
• Multi-asset investment-consumption model with transaction costs
• scientific article; zbMATH DE number 797369

Cited in

(1)

• On level curves of value functions in optimization models of expected utility.

This page was built for publication: Basic properties of value function on asset optimization

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2766020)