Consumption-investment problems with transaction costs: Survey and open problems |
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| Authors: | Abel Cadenillas |
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| Affiliation: | (1) Department of Mathematical Sciences, University of Alberta, Edmonton, Alberta T6G 2G1, Canada (e-mail: acadenil@newton.math.ualberta.ca), CA |
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| Abstract: | 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. Manuscript received: April 1999/final version received: October 1999 |
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| Keywords: | : Consumption-investment optimal stopping stochastic singular control stochastic impulse control transaction costs |
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