Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem

DOI10.1016/j.jde.2008.11.003zbMath1227.35182OpenAlexW3121153783MaRDI QIDQ1006096

Min Dai, Fa-huai Yi

Publication date: 17 March 2009

Published in: Journal of Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jde.2008.11.003

zbMATH Keywords

portfolio selectionsingular stochastic control

Mathematics Subject Classification ID

Smoothness and regularity of solutions to PDEs (35B65) Optimal stochastic control (93E20) PDEs with randomness, stochastic partial differential equations (35R60) Free boundary problems for PDEs (35R35) Portfolio theory (91G10) PDEs in connection with control and optimization (35Q93) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86)

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