Open AccessInvestment and consumption in regime-switching models with proportional transaction costs and log utility
Author(s) -
Jiapeng Liu,
Ruihua Liu,
Dan Ren
Publication year - 2017
Publication title -
mathematical control and related fields
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.658
H-Index - 21
eISSN - 2156-8472
pISSN - 2156-8499
DOI - 10.3934/mcrf.2017017
Subject(s) - hamilton–jacobi–bellman equation , bellman equation , viscosity solution , consumption (sociology) , transaction cost , investment (military) , function (biology) , viscosity , database transaction , economics , convex function , mathematical economics , regular polygon , value (mathematics) , time horizon , mathematical optimization , mathematics , econometrics , microeconomics , computer science , physics , thermodynamics , statistics , social science , law , sociology , biology , geometry , evolutionary biology , political science , programming language , politics