Publication:3656685
From MaRDI portal
zbMath1182.91157MaRDI QIDQ3656685
Christophette Blanchet-Scalliet, Denis Talay, Etienne Tanré, Benoîte De Saporta, Rajna Gibson Brandon
Publication date: 13 January 2010
stochastic control; transaction costs; viscosity solutions; portfolio allocation; dynamic programming principe; HJB inequalities
49J40: Variational inequalities
93E20: Optimal stochastic control
49L25: Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games
91G10: Portfolio theory