Numerical solution of an optimal investment problem with proportional transaction costs (Q415202)
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scientific article; zbMATH DE number 6033725
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| English | Numerical solution of an optimal investment problem with proportional transaction costs |
scientific article; zbMATH DE number 6033725 |
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Numerical solution of an optimal investment problem with proportional transaction costs (English)
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11 May 2012
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optimal investment
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transaction costs
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double obstacle problems
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numerical methods
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characteristics scheme
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finite elements
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0.8870531320571899
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0.8848722577095032
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0.8758385181427002
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0.8613590598106384
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0.8228578567504883
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