Merton problem in a discrete market with frictions
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Publication:1926415
DOI10.1016/j.nonrwa.2012.05.011zbMath1254.91707OpenAlexW1978537245WikidataQ57635888 ScholiaQ57635888MaRDI QIDQ1926415
Souhail Chebbi, Halil Mete Soner
Publication date: 28 December 2012
Published in: Nonlinear Analysis. Real World Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.nonrwa.2012.05.011
Dynamic programming (90C39) Auctions, bargaining, bidding and selling, and other market models (91B26) Portfolio theory (91G10)
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