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hal.structure.identifierLaboratoire de Mathématiques de Besançon (UMR 6623) [LMB]
dc.contributor.authorDe Vallière, Dimitri*
hal.structure.identifierLaboratoire de Mathématiques de Besançon (UMR 6623) [LMB]
dc.contributor.authorKabanov, Yuri*
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorLépinette, Emmanuel*
dc.date.accessioned2017-10-31T15:15:07Z
dc.date.available2017-10-31T15:15:07Z
dc.date.issued2015-01
dc.identifier.issn0949-2984
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/16889
dc.language.isoenen
dc.subjectConsumption-investment problemen
dc.subjectLévy processen
dc.subjectTransaction costsen
dc.subjectBellman functionen
dc.subjectDynamic programmingen
dc.subjectHJB equationen
dc.subjectLyapunov functionen
dc.subject.ddc519en
dc.subject.classificationjelG.G1.G13en
dc.subject.classificationjelG.G1.G11en
dc.titleConsumption-investment optimization problem in a Lévy financial model with transaction costsen
dc.typeArticle accepté pour publication ou publié
dc.description.abstractenWe consider an optimal control problem for a linear stochastic integro-differential equation with conic constraints on the phase variable and with the control of singular–regular type. Our setting includes consumption-investment problems for models of financial markets in the presence of proportional transaction costs, where the prices of the assets are given by a geometric Lévy process, and the investor is allowed to take short positions. We prove that the Bellman function of the problem is a viscosity solution of an HJB equation. A uniqueness theorem for the solution of the latter is established. Special attention is paid to the dynamic programming principle.en
dc.relation.isversionofjnlnameFinance and Stochastics
dc.relation.isversionofjnlvol20en
dc.relation.isversionofjnlissue3en
dc.relation.isversionofjnldate2016-07
dc.relation.isversionofjnlpages705-740en
dc.relation.isversionofdoi10.1007%2Fs00780-016-0303-5en
dc.identifier.urlsitehttps://arxiv.org/abs/1501.04361en
dc.relation.isversionofjnlpublisherSpringeren
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2017-10-31T15:11:54Z
hal.author.functionaut
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