Consumption-investment problem with transaction costs for Lévy-driven price processes (Q309169)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Consumption-investment problem with transaction costs for Lévy-driven price processes |
scientific article |
Statements
Consumption-investment problem with transaction costs for Lévy-driven price processes (English)
0 references
7 September 2016
0 references
consumption-investment problem
0 references
stochastic integro-differential equation
0 references
optimal control
0 references
Lévy process
0 references
transaction costs
0 references
Bellman function
0 references
dynamic programming
0 references
HJB equation
0 references
viscosity solution
0 references
Lyapunov function
0 references
0 references
0 references
0 references
0 references
0 references
