| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 9503020 | Journal of Mathematical Analysis and Applications | 2005 | 13 Pages |
Abstract
In this paper, we consider the multi-asset optimal investment-consumption model: a riskless asset and d risky assets. when the initial time is t⩾0, for a proportional transaction costs and discount factors, we proof that the value function of the model is a unique viscosity solution of a Hamilton-Jacobi-Bellman (HJB) equations.
Related Topics
Physical Sciences and Engineering
Mathematics
Analysis
Authors
Xiao-Yan Zhao, Zan-Kan Nie,