Consumption-investment problems with transaction costs: Survey and open problems
This paper gives a survey of problems and methods contained in various works on consumption/investment problems without or with transaction costs in continuous time. The transaction costs are proportional, fixed and proportional, as a fixed proportion of wealth, taxes and transaction costs. The methods are optimal stopping, stochastic singular control, and stochastic impulse control. Some open problems in this area of research are also given.
scientific article; zbMATH DE number 1441490