Consumption-investment optimization problem in a Lévy financial model with transaction costs and Làdlàg strategies

DOI10.1007/s11579-020-00260-3zbMath1437.91409OpenAlexW3008581901MaRDI QIDQ2190061

T. Q. Tran, Emmanuel Lépinette

Publication date: 18 June 2020

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://basepub.dauphine.fr/handle/123456789/20702

zbMATH Keywords

Hamilton-Jacobi-Bellman equationviscosity solutiontransaction costsLévy processconsumption-investment problem

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

Related Items (1)

Optimal investment and consumption for financial markets with jumps under transaction costs

Cites Work

• Duality theory for portfolio optimisation under transaction costs
• Consumption-investment problem with transaction costs for Lévy-driven price processes
• Multivariate utility maximization with proportional transaction costs
• The fundamental theorem of asset pricing under transaction costs
• Markets with transaction costs. Mathematical theory.
• Optimal investment and consumption with transaction costs
• SDEs with oblique reflection on nonsmooth domains
• Portfolio Selection with Transaction Costs
• Optimal consumption and portfolio in a jump diffusion market with proportional transaction costs

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