Numerical solution of an optimal investment problem with proportional transaction costs
type: Item
instance of: scholarly article
title: Numerical solution of an optimal investment problem with proportional transaction costs
zbMATH Open document ID: 1237.91225
author: Iñigo Arregui
author: Carlos Vázquez
published in: Journal of Computational and Applied Mathematics
publication date: 2012-05-11T00:00:00Z
Mathematics Subject Classification ID: 91G60
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 35R35
Mathematics Subject Classification ID: 65M60
zbMATH DE Number: 6033725
zbMATH Keywords: optimal investment
zbMATH Keywords: transaction costs
zbMATH Keywords: double obstacle problems
zbMATH Keywords: numerical methods
zbMATH Keywords: characteristics scheme
zbMATH Keywords: finite elements
MaRDI profile type: Publication
full work available at URL: j.cam.2012.01.029
OpenAlex ID: W2020087108
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DOI: 10.1016/J.CAM.2012.01.029
description: scientific article; zbMATH DE number 6033725