Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem

10.1016/j.jde.2008.11.003

Saved in:

Bibliographic Details
Main Authors:	Dai, M., Yi, F.
Other Authors:	MATHEMATICS
Format:	Article
Published:	2014
Subjects:	Double obstacle problem Finite horizon Free boundary Optimal investment Portfolio selection Singular stochastic control Transaction costs
Online Access:	http://scholarbank.nus.edu.sg/handle/10635/103274
Tags:	Add Tag No Tags, Be the first to tag this record!
Institution:	National University of Singapore

id	sg-nus-scholar.10635-103274
record_format	dspace
spelling	sg-nus-scholar.10635-1032742023-10-26T21:37:32Z Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem Dai, M. Yi, F. MATHEMATICS Double obstacle problem Finite horizon Free boundary Optimal investment Portfolio selection Singular stochastic control Transaction costs 10.1016/j.jde.2008.11.003 Journal of Differential Equations 246 4 1445-1469 JDEQA 2014-10-28T02:35:17Z 2014-10-28T02:35:17Z 2009-02-15 Article Dai, M., Yi, F. (2009-02-15). Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem. Journal of Differential Equations 246 (4) : 1445-1469. ScholarBank@NUS Repository. https://doi.org/10.1016/j.jde.2008.11.003 00220396 http://scholarbank.nus.edu.sg/handle/10635/103274 000263335400007 Scopus
institution	National University of Singapore
building	NUS Library
continent	Asia
country	Singapore Singapore
content_provider	NUS Library
collection	ScholarBank@NUS
topic	Double obstacle problem Finite horizon Free boundary Optimal investment Portfolio selection Singular stochastic control Transaction costs
spellingShingle	Double obstacle problem Finite horizon Free boundary Optimal investment Portfolio selection Singular stochastic control Transaction costs Dai, M. Yi, F. Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem
description	10.1016/j.jde.2008.11.003
author2	MATHEMATICS
author_facet	MATHEMATICS Dai, M. Yi, F.
format	Article
author	Dai, M. Yi, F.
author_sort	Dai, M.
title	Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem
title_short	Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem
title_full	Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem
title_fullStr	Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem
title_full_unstemmed	Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem
title_sort	finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
publishDate	2014
url	http://scholarbank.nus.edu.sg/handle/10635/103274
_version_	1781787709304471552

Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem

Similar Items