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

Abel Cadenillas

Mathematical Methods of Operations Research, 2000, vol. 51, issue 1, 43-68

Abstract: 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

Keywords: Key words: Consumption-investment; optimal stopping; stochastic singular control; stochastic impulse control; transaction costs (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:spr:mathme:v:51:y:2000:i:1:p:43-68

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DOI: 10.1007/s001860050002

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