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

zbMATH Keywords

optimal controlLyapunov functiondynamic programmingviscosity solutionHJB equationtransaction costsLévy processBellman functionconsumption-investment problemstochastic integro-differential equation

Mathematics Subject Classification ID

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)

Viscosity Solutions of Integro-Differential Equations for Nonruin Probabilities ⋮ On the Uniqueness of Unbounded Viscosity Solutions Arising in an Optimal Terminal Wealth Problem with Transaction Costs ⋮ Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies ⋮ Optimal investment and consumption for financial markets with jumps under transaction costs ⋮ Stochastic Dynamic Programming and Control of Markov Processes ⋮ Finite-horizon optimal investment with transaction costs: construction of the optimal strategies ⋮ HJB Equations with Gradient Constraint Associated with Controlled Jump-Diffusion Processes ⋮ Short Communication: A Note on Utility Maximization with Proportional Transaction Costs and Stability of Optimal Portfolios

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