Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs
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Publication:5939297
DOI10.1016/S0304-4068(00)00067-7zbMath1013.91055OpenAlexW1983491159MaRDI QIDQ5939297
Agnès Sulem, Bernt Øksendal, Nils Chr. Framstad
Publication date: 29 July 2001
Published in: Journal of Mathematical Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0304-4068(00)00067-7
Processes with independent increments; Lévy processes (60G51) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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