Asymptotic analysis of optimal investment and consumption with transaction costs.
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Publication:1887271
DOI10.1007/s00780-003-0113-4zbMath1098.91051OpenAlexW1976551585WikidataQ110634024 ScholiaQ110634024MaRDI QIDQ1887271
Karel Janeček, Steven E. Shreve
Publication date: 24 November 2004
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00780-003-0113-4
Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)
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