scientific article; zbMATH DE number 1069629
zbMATH Open0898.90024MaRDI QIDQ4356592FDOQ4356592
Authors: Agnès Tourin, Thaleia Zariphopoulou 
Publication date: 1 October 1997
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convergencestochastic processesHamilton-Jacobi-Bellman equationvalue functionviscosity solutionsnumerical schemesoptimal investmentsingular stochastic controloptimal policiesconsumption model
Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Applications to the sciences (65Z05)
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- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
- Dynamic portfolio selection with nonlinear transaction costs
- Optimal investment strategies with a reallocation constraint
- Iterative methods for the solution of a singular control formulation of a GMWB pricing problem
- Splitting methods for Hamilton‐Jacobi equations
- A computational scheme for optimal investment - consumption with proportional transaction costs
- Numerical schemes for investment models with singular transactions
- Futures trading with transaction costs
- Asset allocation with time variation in expected returns
- A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs
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