Pages that link to "Item:Q4537810"
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The following pages link to Optimal Consumption and Portfolio with Both Fixed and Proportional Transaction Costs (Q4537810):
Displaying 50 items.
- On singular control problems with state constraints and regime-switching: a viscosity solution approach (Q290828) (← links)
- Optimal impulse control of a portfolio with a fixed transaction cost (Q301216) (← links)
- Optimal portfolio selection under concave price impact (Q360368) (← links)
- The stochastic maximum principle for optimal control problems of delay systems involving continuous and impulse controls (Q360987) (← links)
- Classical and impulse control for the optimization of dividend and proportional reinsurance policies with regime switching (Q613607) (← links)
- Existence and uniqueness of viscosity solutions for QVI associated with impulse control of jump-diffusions (Q734661) (← links)
- A numerical scheme for the impulse control formulation for pricing variable annuities with a guaranteed minimum withdrawal benefit (GMWB) (Q937233) (← links)
- Error estimates for approximate solutions to Bellman equations associated with controlled jump-diffusions (Q943366) (← links)
- European option pricing and hedging with both fixed and proportional transaction costs (Q956487) (← links)
- On reset option pricing in binomial market with both fixed and proportional transaction costs (Q990579) (← links)
- A policy iteration algorithm for fixed point problems with nonexpansive operators (Q1006540) (← links)
- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory (Q1027357) (← links)
- The stochastic maximum principle in singular optimal control with recursive utilities (Q1633566) (← links)
- Hiring, firing, and relocation under employment protection (Q1657544) (← links)
- Optimal investment and consumption for an insurer with high-watermark performance fee (Q1665626) (← links)
- Maximum principle for optimal control problems of forward-backward regime-switching systems involving impulse controls (Q1666836) (← links)
- Utility maximisation in a factor model with constant and proportional transaction costs (Q1711719) (← links)
- An approximation scheme for impulse control with random reaction periods (Q1728360) (← links)
- Opaque bank assets and optimal equity capital (Q1734564) (← links)
- Super-replication with fixed transaction costs (Q1737955) (← links)
- Portfolio selection problems with Markowitz's mean-variance framework: a review of literature (Q1795052) (← links)
- Optimal securitization of credit portfolios via impulse control (Q1932538) (← links)
- Nonzero-sum impulse games with regime switching (Q2081783) (← links)
- An algorithm based on an iterative optimal stopping method for Feller processes with applications to impulse control, perturbation, and possibly zero random discount problems (Q2095165) (← links)
- Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control (Q2114262) (← links)
- Hybrid optimal impulse control (Q2125528) (← links)
- The stochastic maximum principle for a jump-diffusion mean-field model involving impulse controls and applications in finance (Q2179644) (← links)
- Zero-sum stochastic differential game in finite horizon involving impulse controls (Q2187339) (← links)
- Hamilton-Jacobi-Bellman quasi-variational inequality arising in an environmental problem and its numerical discretization (Q2203922) (← links)
- On the optimality of joint periodic and extraordinary dividend strategies (Q2242408) (← links)
- Asymptotics for fixed transaction costs (Q2339123) (← links)
- Optimal stopping problems with restricted stopping times (Q2358495) (← links)
- Optimal impulse control for a multidimensional cash management system with generalized cost functions (Q2378465) (← links)
- Smooth investment (Q2397785) (← links)
- Stochastic maximum principle for optimal control problems of forward-backward delay systems involving impulse controls (Q2400449) (← links)
- Arbitrage theory for non convex financial market models (Q2403708) (← links)
- Analysis and computation of probability density functions for a 1-D impulsively controlled diffusion process (Q2418705) (← links)
- A unified approach to portfolio optimization with linear transaction costs (Q2433238) (← links)
- Maximizing the utility of consumption with commutable life annuities (Q2445347) (← links)
- A model of optimal portfolio selection under liquidity risk and price impact (Q2463703) (← links)
- Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. I. (Q2478407) (← links)
- Hereditary portfolio optimization with taxes and fixed plus proportional transaction costs. II (Q2478408) (← links)
- Stochastic maximum principle for non-zero sum differential games of FBSDEs with impulse controls and its application to finance (Q2514637) (← links)
- The general maximum principle for stochastic control problems with singular controls (Q2676620) (← links)
- A Maximum Principle via Malliavin calculus for combined stochastic control and impulse control of forward-backward systems (Q2794008) (← links)
- HIGH-DIMENSIONAL PORTFOLIO OPTIMIZATION WITH TRANSACTION COSTS (Q2814667) (← links)
- Optimal execution strategy in the presence of permanent price impact and fixed transaction cost (Q2864791) (← links)
- A General Verification Result for Stochastic Impulse Control Problems (Q2968551) (← links)
- Dynamic liquidation under market impact (Q2994855) (← links)
- Non-robustness with Respect to Intervention Costs in Optimal Control (Q3158140) (← links)