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dc.contributor.authorSoner, Halil Mete*
hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorTouzi, Nizar*
hal.structure.identifier
dc.contributor.authorBen Tahar, Imen*
dc.date.accessioned2012-06-25T09:31:27Z
dc.date.available2012-06-25T09:31:27Z
dc.date.issued2007
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/9561
dc.language.isoenen
dc.subjectviscosity solutionsen
dc.subjectcapital gains taxesen
dc.subjecttransaction costsen
dc.subjectoptimal consumption and investment in continuous timeen
dc.subject.ddc332en
dc.subject.classificationjelD23en
dc.titleThe Dynamic Programming Equation for the Problem of Optimal Investment Under Capital Gains Taxesen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherDepartment of Mathematics, ETH zurich;Suisse
dc.contributor.editoruniversityotherCentre de Mathématiques Appliquées - Ecole Polytechnique (CMAP) http://www.cmap.polytechnique.fr/ Polytechnique - X – CNRS : UMR7641;France
dc.description.abstractenThis paper considers an extension of the Merton optimal investment problem to the case where the risky asset is subject to transaction costs and capital gains taxes. We derive the dynamic programming equation in the sense of constrained viscosity solutions. We next introduce a family of functions $(V_\varepsilon)_{\varepsilon>0}$, which converges to our value function uniformly on compact subsets, and which is characterized as the unique constrained viscosity solution of an approximation of our dynamic programming equation.en
dc.relation.isversionofjnlnameSIAM Journal on Control and Optimization
dc.relation.isversionofjnlvol46en
dc.relation.isversionofjnlissue5en
dc.relation.isversionofjnldate2007
dc.relation.isversionofjnlpages1779–1801en
dc.relation.isversionofdoihttp://dx.doi.org/10.1137/050646044en
dc.description.sponsorshipprivateouien
dc.relation.isversionofjnlpublisherSociety for Industrial and Applied Mathematicsen
dc.subject.ddclabelEconomie financièreen
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