Peifan Li

affiliation not provided to SSRN

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Finite Horizon Optimal Investment and Consumption with Transaction Costs

SIAM Journal on Control and Optimization, Vol. 48, No. 2, pp. 1134-1154, 2009
Number of pages: 20 Posted: 08 Dec 2009
Min Dai, Lishang Jiang, Peifan Li and Fahuai Yi
National University of Singapore (NUS) - Department of Mathematics, Tongji University - Institute of Mathematics, affiliation not provided to SSRN and South China Normal University - Department of Math
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Abstract:

optimal investment and consumption, transaction costs, finite horizon, free boundaries, variational inequality, gradient constraints, singular stochastic control