Finite horizon optimal investment and consumption with transaction costs

Finite horizon optimal investment and consumption with transaction costs

10.1137/070703685

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Bibliographic Details
Main Authors: Min, D., Lishang, J., Peifan, L., Fahuai, Y.I.
Other Authors: MATHEMATICS
Format: Article
Published: 2014
Subjects:
Finite horizon
Free boundaries
Gradient constraints
Optimal investment and consumption
Singular stochastic control
Transaction costs
Variational inequality
Online Access:http://scholarbank.nus.edu.sg/handle/10635/103271
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Institution: National University of Singapore

Internet

http://scholarbank.nus.edu.sg/handle/10635/103271

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