PORTFOLIO SELECTION WITH TRANSACTION COSTS

[1] SMALL RANDOM PERTURBATION OF DYNAMICAL-SYSTEMS WITH REFLECTING BOUNDARY [J]. NAGOYA MATHEMATICAL JOURNAL, 1976, 60 (FEB) : 189 - 216

[2] Bene Vaclav E., 1980, STOCHASTICS, V4, P134

[3] Bensoussan A, 1984, IMPULSE CONTROL QUAS

[4] CAPITAL-MARKET EQUILIBRIUM WITH TRANSACTION COSTS [J]. JOURNAL OF POLITICAL ECONOMY, 1986, 94 (04) : 842 - 862

[5] DAVIS MHA, 1988, PITMAN RES NOTES MAT, V197

[6] EXISTENCE AND UNICITY OF SOLUTIONS OF STOCHASTIC INTEGRAL-EQUATIONS [J]. ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1976, 36 (02): : 93 - 101

[7] DUFFIE D, IN PRESS J EC DYNAMI

[8] Fleming W.H., 1975, DETERMINISTIC STOCHA

[9] Harrison J.M., 1985, BROWNIAN MOTION STOC

[10] HARRISON JM, 1978, STOCHASTIC PROCESS A, V6

[1] SMALL RANDOM PERTURBATION OF DYNAMICAL-SYSTEMS WITH REFLECTING BOUNDARY [J]. NAGOYA MATHEMATICAL JOURNAL, 1976, 60 (FEB) : 189 - 216

[2] Bene Vaclav E., 1980, STOCHASTICS, V4, P134

[3] Bensoussan A, 1984, IMPULSE CONTROL QUAS

[4] CAPITAL-MARKET EQUILIBRIUM WITH TRANSACTION COSTS [J]. JOURNAL OF POLITICAL ECONOMY, 1986, 94 (04) : 842 - 862

[5] DAVIS MHA, 1988, PITMAN RES NOTES MAT, V197

[6] EXISTENCE AND UNICITY OF SOLUTIONS OF STOCHASTIC INTEGRAL-EQUATIONS [J]. ZEITSCHRIFT FUR WAHRSCHEINLICHKEITSTHEORIE UND VERWANDTE GEBIETE, 1976, 36 (02): : 93 - 101

[7] DUFFIE D, IN PRESS J EC DYNAMI

[8] Fleming W.H., 1975, DETERMINISTIC STOCHA

[9] Harrison J.M., 1985, BROWNIAN MOTION STOC

[10] HARRISON JM, 1978, STOCHASTIC PROCESS A, V6