Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169)
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scientific article; zbMATH DE number 6624316
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| English | Consumption-investment problem with transaction costs for Lévy-driven price processes |
scientific article; zbMATH DE number 6624316 |
Statements
Consumption-investment problem with transaction costs for Lévy-driven price processes (English)
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7 September 2016
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consumption-investment problem
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stochastic integro-differential equation
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optimal control
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Lévy process
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transaction costs
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Bellman function
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dynamic programming
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HJB equation
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viscosity solution
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Lyapunov function
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0.8669422268867493
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0.8517364263534546
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0.8473882675170898
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0.8438209295272827
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0.8429325819015503
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