scientific article; zbMATH DE number 2051035

MaRDI QIDQ4453309zbMATH OpenFDO

Authors Tze Leung Lai, Tiong Wee Lim

Publication date 7 March 2004

zbMATH Keywords

Hamilton-Jacobi-Bellman equationHara utilityMerton problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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• Singular optimal strategies for investment with transaction costs
• A discrete stochastic model for investment with an application to the transaction costs case
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