Consumption-investment problems with transaction costs: Survey and open problems
Consumption-investment problems with transaction costs: Survey and open problems
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DOI：
10.1007/s001860050002
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发表时间：
2000-02
影响因子：
1.2
通讯作者：
A. Cadenillas
中科院分区：
文献类型：
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作者：
A. Cadenillas
本文综述了连续时间内有交易费用的消费-投资问题的各种研究成果中所包含的问题和方法。这些方法是最优停止、随机奇异控制和随机脉冲控制。我们还描述了一些开放的问题，在这个活跃的研究领域。
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.