A Numerical Scheme for A Singular control problem: Investment-Consumption Under Proportional Transaction Costs
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- Halil Mete Soner & Nizar Touzi, 2012. "Homogenization and Asymptotics for Small Transaction Costs," Swiss Finance Institute Research Paper Series 12-13, Swiss Finance Institute.
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NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2017-12-03 (Computational Economics)
- NEP-MST-2017-12-03 (Market Microstructure)
- NEP-UPT-2017-12-03 (Utility Models and Prospect Theory)
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