Singular optimal strategies for investment with transaction costs

DOI10.1214/AOAP/1028903383zbMath0967.93096OpenAlexW1999898007MaRDI QIDQ1296728

Ananda P. N. Weerasinghe

Publication date: 20 August 2001

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aoap/1028903383

zbMATH Keywords

stochastic optimal controllocal timediffusion processestransaction costsinvestment policyrisky assetallocation of wealth

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Related Items (2)

Optimal singular control strategies for controlling a process to a goal. ⋮ Minimizing the probability of ruin: two riskless assets with transaction costs and proportional reinsurance

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