Investment and consumption in regime-switching models with proportional transaction costs and log utility
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Publication:2360794
DOI10.3934/mcrf.2017017zbMath1367.91167OpenAlexW2727168428MaRDI QIDQ2360794
Ruihua Liu, Dan Ren, Jia-Peng Liu
Publication date: 12 July 2017
Published in: Mathematical Control and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3934/mcrf.2017017
Hamilton-Jacobi-Bellman equationviscosity solutionregime-switching modelproportional transaction costsinvestment and consumption modellog utility
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
Cites Work
- Optimal investment and consumption with proportional transaction costs in regime-switching model
- Optimal investment and consumption with transaction costs
- AMERICAN OPTIONS WITH REGIME SWITCHING
- User’s guide to viscosity solutions of second order partial differential equations
- Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
- Portfolio Selection with Transaction Costs