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

被引：33
作者：
Cadenillas, A [1 ]
机构：
[1] Univ Alberta, Dept Math Sci, Edmonton, AB T6G 2G1, Canada
来源：
MATHEMATICAL METHODS OF OPERATIONS RESEARCH | 2000年 / 51卷 / 01期
关键词：
consumption-investment; optimal stopping; stochastic singular control; stochastic impulse control; transaction costs;
D O I：
10.1007/s001860050002
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
引用
收藏
页码：43 / 68
页数：26
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