Consumption-investment problem with transaction costs for Lévy-driven price processes
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References listed on IDEAS
- Yuri Kabanov, 2009. "Markets with Transaction Costs. Mathematical Theory," Post-Print hal-00488168, HAL.
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More about this item
KeywordsConsumption-investment problem; Lévy process; Transaction costs; Bellman function; Dynamic programming; HJB equation; Lyapunov function;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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