Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs
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Publication:4537810
DOI10.1137/S0363012900376013zbMath1102.91054OpenAlexW1981365697MaRDI QIDQ4537810
Publication date: 23 June 2002
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/s0363012900376013
Partial differential inequalities and systems of partial differential inequalities (35R45) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)
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