Consumption-investment problem with transaction costs for Lévy-driven price processes
DOI10.1007/s00780-016-0303-5zbMath1346.60101arXiv1501.04361OpenAlexW2215521480MaRDI QIDQ309169
Dimitri De Vallière, Emmanuel Lépinette, Youri M.Kabanov
Publication date: 7 September 2016
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1501.04361
optimal controlLyapunov functiondynamic programmingviscosity solutionHJB equationtransaction costsLévy processBellman functionconsumption-investment problemstochastic integro-differential equation
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Stochastic integral equations (60H20) Existence of optimal solutions to problems involving randomness (49J55)
Related Items (8)
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