Penalty methods for continuous-time portfolio selection with proportional transaction costs

DOI10.21314/JCF.2010.221zbMath1284.91515MaRDI QIDQ5411501

Min Dai, Yifei Zhong

Publication date: 23 April 2014

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

91B70: Stochastic models in economics

93E20: Optimal stochastic control

60H30: Applications of stochastic analysis (to PDEs, etc.)

65C30: Numerical solutions to stochastic differential and integral equations

91G10: Portfolio theory

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