A numerical scheme for a singular control problem: investment-consumption under proportional transaction costs
DOI10.1016/j.cam.2017.10.035zbMath1405.91700arXiv1711.01017OpenAlexW2964139766MaRDI QIDQ679585
Publication date: 11 January 2018
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1711.01017
Hamilton-Jacobi-Bellman equationstochastic controlbackward stochastic differential equationsportfolio optimizationtransaction costsMonte Carlo approximation
Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Portfolio theory (91G10)
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