Consumption-investment problem with transaction costs for Lévy-driven price processes
Dimitri De Vallière, Yuri Kabanov, Emmanuel Lépinette
| Year of publication: |
July 2016
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|---|---|
| Authors: | Vallière, Dimitri De ; Kabanov, Jurij M. ; Lépinette, Emmanuel |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 20.2016, 3, p. 705-740
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| Subject: | Consumption-investment problem | Lévy process | Transaction costs | Bellman function | Dynamic programming | HJB equation | Lyapunov function | Transaktionskosten | Stochastischer Prozess | Stochastic process | Dynamische Optimierung | Konsumtheorie | Consumption theory | Optionspreistheorie | Option pricing theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-016-0303-5 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011531437