On an Investment-Consumption Model with Transaction Costs

DOI10.1137/S0363012993247159zbMath1035.91505OpenAlexW2099438388MaRDI QIDQ4874954

Agnès Sulem, Marianne Akian, José Luis Menaldi

Publication date: 11 June 1996

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s0363012993247159

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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