scientific article; zbMATH DE number 2230700

MaRDI QIDQ5708787zbMATH OpenFDO

Authors Xiao-Song Qian

Publication date 21 November 2005

zbMATH Keywords

integro-differential equationviscosity solution

Mathematics Subject Classification ID

Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Consumer behavior, demand theory (91B42)

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(15)

• Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies
• Optimal investment and consumption in the market with jump risk and capital gains tax
• Impulse control of portfolios with jumps and transaction costs
• Investment-Consumption Models with Transaction Fees and Markov-Chain Parameters
• Optimal Portfolios and Pricing of Financial Derivatives Under Proportional Transaction Costs
• Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
• Optimal investment and consumption with proportional transaction costs in regime-switching model
• Consumption optimization for recursive utility in a jump-diffusion model
• Optimal Portfolio and Consumption Policies Subject to Rishel's Important Jump Events Model: Computational Methods
• On investment and minimization of shortfall risk for a diffusion model with jumps and two interest rates via market completion
• Optimal Investment-consumption for Partially Observed Jump-diffusions
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
• Optimal investment and consumption for financial markets with jumps under transaction costs
• Optimal portfolio for a small investor in a market model with discontinuous prices
• Optimal consumption portfolio and no-arbitrage with nonproportional transaction costs

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