Optimal investment and consumption with transaction costs
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Publication:1336583
DOI10.1214/aoap/1177004966zbMath0813.60051OpenAlexW1976352744WikidataQ56906975 ScholiaQ56906975MaRDI QIDQ1336583
Halil Mete Soner, Steven E. Shreve
Publication date: 22 November 1994
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aoap/1177004966
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)
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