Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

DOI10.1137/15M1053633zbMath1372.49031arXiv1610.03958MaRDI QIDQ5266527

Albert Altarovici, Max Reppen, Halil Mete Soner

Publication date: 7 June 2017

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

Full work available at URL: https://arxiv.org/abs/1610.03958

zbMATH Keywords

sub-solutionsuper-solutiontransaction costsnumerical simulationsvalue functionfixed costsconstrained viscosity solutionMerton problemdynamic programming equation (DPE)

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Existence theories for free problems in two or more independent variables (49J10) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Discrete approximations in optimal control (49M25) Portfolio theory (91G10)

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