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Viscosity Solutions and Numerical Schemes for Investment / Consumption Models with Transaction Costs

Tourin, Agnès; Zariphopoulou, Thaleia (1997), Viscosity Solutions and Numerical Schemes for Investment / Consumption Models with Transaction Costs, in Rogers, Chris; Talay, Denis, Numerical methods in finance, Cambridge University Press : Cambridge, p. 245-269

Type
Chapitre d'ouvrage
Date
1997
Book title
Numerical methods in finance
Book author
Rogers, Chris; Talay, Denis
Publisher
Cambridge University Press
Published in
Cambridge
ISBN
0-521-57354-8
Number of pages
326
Pages
245-269
Metadata
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Author(s)
Tourin, Agnès
Zariphopoulou, Thaleia
Subjects / Keywords
consumption decision; investment decision
JEL
G11 - Portfolio Choice; Investment Decisions
D81 - Criteria for Decision-Making under Risk and Uncertainty