Merton Problem with Taxes: Characterization, Computation, and Approximation

DOI10.1137/080742178zbMath1230.91166OpenAlexW2024137600WikidataQ57635920 ScholiaQ57635920MaRDI QIDQ3563697

Nizar Touzi, Imen Bentahar, Halil Mete Soner

Publication date: 1 June 2010

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080742178

zbMATH Keywords

finite differencestransaction costscapital gains taxesoptimal consumption and investment in continuous time

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Initial-boundary value problems for second-order parabolic equations (35K20) Finite difference methods for initial value and initial-boundary value problems involving PDEs (65M06) Portfolio theory (91G10)

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