Consumption-investment problems with transaction costs: Survey and open problems

We present a survey of problems and methods contained in various works on consumption-investment problems with transaction costs in continuous time. The methods are those of optimal stopping, stochastic singular control, and stochastic impulse control. We also describe some open problems in this active area of research. Copyright Springer-Verlag Berlin Heidelberg 2000

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Year of publication:	2000
Authors:	Cadenillas, Abel
Published in:	Computational Statistics. - Springer. - Vol. 51.2000, 1, p. 43-68
Publisher:	Springer
Subject:	Consumption-investment \| optimal stopping \| stochastic singular control \| stochastic impulse control \| transaction costs

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

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