Finite horizon optimal investment with transaction costs: a parabolic double obstacle problem

Min Dai, Fahuai Yi

Research output: Journal article publication › Journal article › Academic research › peer-review

89 Citations (Scopus)

Original language	English
Pages (from-to)	1445-1469
Number of pages	25
Journal	Journal of Differential Equations
Volume	246
Issue number	4
DOIs	https://doi.org/10.1016/j.jde.2008.11.003
Publication status	Published - 15 Feb 2009

More information

@article{dc7428d738404c5e87e3446c763cfe65,

title = "Finite horizon optimal investment with transaction costs: a parabolic double obstacle problem",

author = "Min Dai and Fahuai Yi",

year = "2009",

month = feb,

day = "15",

doi = "10.1016/j.jde.2008.11.003",

language = "English",

volume = "246",

pages = "1445--1469",

journal = "Journal of Differential Equations",

issn = "0022-0396",

publisher = "Academic Press Inc.",

number = "4",

}

TY - JOUR

T1 - Finite horizon optimal investment with transaction costs: a parabolic double obstacle problem

AU - Dai, Min

AU - Yi, Fahuai

PY - 2009/2/15

Y1 - 2009/2/15

U2 - 10.1016/j.jde.2008.11.003

DO - 10.1016/j.jde.2008.11.003

M3 - Journal article

SN - 0022-0396

VL - 246

SP - 1445

EP - 1469

JO - Journal of Differential Equations

JF - Journal of Differential Equations

IS - 4

ER -