Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters

DOI10.1137/0330035zbMath0784.90027OpenAlexW2174593264MaRDI QIDQ4016754

Thaleia Zariphopoulou

Publication date: 16 January 1993

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/0330035

zbMATH Keywords

financeportfolio selectioncontinuous time Markov chaingradient constraintsfinite horizon control

Mathematics Subject Classification ID

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