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Advanced Financial Modelling

Ed. by Albrecher, Hansjörg / Runggaldier, Wolfgang J. / Schachermayer, Walter

Series:Radon Series on Computational and Applied Mathematics 8

eBook (PDF)
Publication Date:
December 2009
Copyright year:
2009
ISBN
978-3-11-021314-0
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Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs

BLANCHET-SCALLIET, C. / GIBSON BRANDON, R. / SAPORTA, B. / Talay, D. / Tanré, E.

Citation Information

C. BLANCHET-SCALLIET, R. GIBSON BRANDON, de B. SAPORTA, D. Talay, E. Tanré (2009). Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs. Advanced Financial Modelling (pp. 53–90). https://doi.org/10.1515/9783110213140.53

Book DOI: https://doi.org/10.1515/9783110213140

Online ISBN: 9783110213140

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