Optimal consumption policies in illiquid markets

Alessandra Cretarola (), Fausto Gozzi, Huyên Pham () and Peter Tankov ()

Finance and Stochastics, 2011, vol. 15, issue 1, pages 85-115

Keywords: Illiquid market; Optimal consumption; Integrodifferential equations; Viscosity solutions; Semiconcavity; Sub/superdifferentials; Optimal control; 49K22; 49L25; 35F20; 91B28; G11 (search for similar items in EconPapers)
Date: 2011
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Working Paper: Optimal consumption policies in illiquid markets (2008)
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