Finite Horizon Optimal Investment and Consumption with Transaction Costs

DOI10.1137/070703685zbMath1189.35166OpenAlexW3123697738MaRDI QIDQ3557961

Peifan Li, Min Dai, Li-Shang Jiang, Fa-huai Yi

Publication date: 28 April 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/0c88737323ba80b6518662ba19806947c778eb01

zbMATH Keywords

singular stochastic control free boundaries gradient constraints

Mathematics Subject Classification ID

Variational and other types of inequalities involving nonlinear operators (general) (47J20) Unilateral problems for linear parabolic equations and variational inequalities with linear parabolic operators (35K85) Optimal stochastic control (93E20) Existence theories for optimal control problems involving partial differential equations (49J20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) PDEs in connection with control and optimization (35Q93)

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