A note on finite horizon optimal investment and consumption with transaction costs

DOI10.3934/dcdsb.2016005zbMath1346.35120OpenAlexW3125999129MaRDI QIDQ316893

Min Dai, Zhou Yang

Publication date: 30 September 2016

Published in: Discrete and Continuous Dynamical Systems. Series B (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/dcdsb.2016005

zbMATH Keywords

regularityfinite horizontransaction costsoptimal investment and consumption

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Existence theories for optimal control problems involving partial differential equations (49J20) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs in connection with control and optimization (35Q93) Unilateral problems for nonlinear parabolic equations and variational inequalities with nonlinear parabolic operators (35K86)

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Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
• Portfolio selection with transactions costs
• Optimal investment and consumption with transaction costs
• Finite Horizon Optimal Investment and Consumption with Transaction Costs
• Portfolio Selection with Transaction Costs