Open AccessOptimal asset control of a geometric Brownian motion with the transaction costs and bankruptcy permission
Author(s) -
Dingjun Yao,
Rongming Wang,
Lin Xu
Publication year - 2015
Publication title -
journal of industrial and management optimization
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2015.11.461
Subject(s) - bankruptcy , dividend , geometric brownian motion , stochastic control , transaction cost , asset (computer security) , economics , microeconomics , bellman equation , payment , convexity , econometrics , actuarial science , financial economics , finance , business , optimal control , computer science , mathematical economics , mathematical optimization , mathematics , diffusion process , economy , computer security , service (business)