Consumption-investment optimization problem in a Lévy financial model with transaction Costs

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Date
2020Dewey
Probabilités et mathématiques appliquéesSujet
Consumption-investment Problem; Lévy process; Viscosity solution; Hamilton-Jacobi-Bellman equation; Transaction costs ·JEL code
G.G1.G11; G.G1.G13Journal issue
Mathematics and Financial EconomicsPublication date
2020Publisher
SpringerCollections
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Lépinette, Emmanuel
60 CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Tran, Tuan Quoc
35871 Laboratoire de Génie Electrique de Grenoble [G2ELab]