Impulsive control of portfolios

DOI10.1007/s00245-007-0880-yzbMath1129.93055OpenAlexW1977010568WikidataQ59903960 ScholiaQ59903960MaRDI QIDQ2384779

Jan Palczewski, Łukasz Stettner

Publication date: 10 October 2007

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: http://eprints.whiterose.ac.uk/79166/1/opt.pdf

zbMATH Keywords

Bellman equationMarkov processportfolio optimizationtransaction costsimpulsive control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial applications of other theories (91G80)

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