Analysis of a Degenerate Parabolic Variational Inequality with Gradient Constraints from Optimal Investment and Consumption with Transaction Costs

2007 ◽  
Author(s):  
Min Dai ◽  
Lishang Jiang ◽  
Fahuai Yi
Keyword(s):  
Variational Inequality ◽  
Transaction Costs ◽  
Optimal Investment ◽  
Parabolic Variational Inequality ◽  
Gradient Constraints ◽  
Degenerate Parabolic ◽  
Optimal Investment And Consumption

Finite Horizon Optimal Investment and Consumption with Transaction Costs

2009 ◽  
Vol 48 (2) ◽  
pp. 1134-1154 ◽  
Author(s):  
Min Dai ◽  
Lishang Jiang ◽  
Peifan Li ◽  
Fahuai Yi
Keyword(s):  
Transaction Costs ◽  
Optimal Investment ◽  
Finite Horizon ◽  
Optimal Investment And Consumption
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