A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs (Q679585)
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scientific article; zbMATH DE number 6824485
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| English | A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs |
scientific article; zbMATH DE number 6824485 |
Statements
A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs (English)
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11 January 2018
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Hamilton-Jacobi-Bellman equation
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stochastic control
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Monte Carlo approximation
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backward stochastic differential equations
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portfolio optimization
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transaction costs
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0.8870531320571899
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0.8537642359733582
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0.8505806922912598
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0.846148669719696
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