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

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

10.1016/j.jde.2008.11.003

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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
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Institution: National University of Singapore
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