scientific article; zbMATH DE number 797369

MaRDI QIDQ4848529zbMATH OpenFDO

Authors Agnès Tourin, Thaleia Zariphopoulou

Publication date 17 September 1995

zbMATH Keywords

dynamic programmingfree boundariesinfinite horizon investment- consumption modelmonotone numerical schemeportfolio selectiontransaction regionsvariational inequalityviscosity solution

Mathematics Subject Classification ID

Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20) Numerical optimization and variational techniques (65K10) Numerical methods (including Monte Carlo methods) (91G60)

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