Impulse control of portfolios with jumps and transaction costs
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Publication:4009175
DOI10.1080/15326349208807214zbMath0749.60036MaRDI QIDQ4009175
Publication date: 27 September 1992
Published in: Communications in Statistics. Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349208807214
numerical computation; optimal solution; geometric Brownian motion; fixed and variable transaction costs; optimal investmemt plan
60G35: Signal detection and filtering (aspects of stochastic processes)
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