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scientific article; zbMATH DE number 797369 - MaRDI portal

scientific article; zbMATH DE number 797369

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Publication:4848529

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zbMath0827.65072MaRDI QIDQ4848529

Agnès Tourin, Thaleia Zariphopoulou

Publication date: 17 September 1995

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

dynamic programming variational inequality viscosity solution portfolio selection free boundaries monotone numerical scheme infinite horizon investment- consumption model transaction regions

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Numerical optimization and variational techniques (65K10) Variational inequalities (49J40) Dynamic programming in optimal control and differential games (49L20)

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