Consumption-investment problems with transaction costs: Survey and open problems
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Publication:1974021
DOI10.1007/s001860050002zbMath0947.91042MaRDI QIDQ1974021
Publication date: 12 November 2000
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s001860050002
survey; optimal stopping; transaction costs; investment; consumption; stochastic impulse control; stochastic singular control
93E99: Stochastic systems and control
91-02: Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance
60G40: Stopping times; optimal stopping problems; gambling theory
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