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

DOI10.1137/0330035zbMATH Open0784.90027OpenAlexW2174593264MaRDI QIDQ4016754FDOQ4016754

Authors: 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

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zbMATH Keywords

financeportfolio selectioncontinuous time Markov chaingradient constraintsfinite horizon control

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Continuous-time Markov processes on discrete state spaces (60J27) Economics of information (91B44)

Cited In (40)

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• Optimal stopping behavior of equity-linked investment products with regime switching
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• Minimizing the probability of lifetime ruin: two riskless assets with transaction costs
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• OPTIMAL LAG IN DYNAMICAL INVESTMENTS
• Computation of distorted probabilities for diffusion processes via stochastic control methods.
• Optimal consumption and portfolio rules with durability and habit formation
• Constrained stochastic estimation algorithms for a class of hybrid stock market models

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