Asymptotic analysis for Merton's problem with transaction costs in power utility case

IF 0.8 4区数学 Q3 MATHEMATICS, APPLIED

Stochastics-An International Journal of Probability and Stochastic Processes Pub Date : 2013-09-01 DOI:10.1080/17442508.2013.879142

J. Choi

引用次数: 4

Abstract

We revisit the optimal investment and consumption problem with proportional transaction costs. We prove that both the value function and the slopes of the lines demarcating the no-trading region are analytic functions of cube root of the transaction cost parameter. Also, we can explicitly calculate the coefficients of the fractional power series expansions of the value function and the no-trading region.

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电力公司交易费用情况下Merton问题的渐近分析

我们重新考虑了交易成本成比例的最优投资和消费问题。证明了交易成本参数的立方根的解析函数和无交易区域分界线的斜率。此外，我们还可以显式地计算出价值函数和非贸易区域的分数阶幂级数展开式的系数。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Stochastics-An International Journal of Probability and Stochastic Processes MATHEMATICS, APPLIED-STATISTICS & PROBABILITY

CiteScore

1.90

自引率

0.00%

发文量

审稿时长

>12 weeks

期刊介绍： Stochastics: An International Journal of Probability and Stochastic Processes is a world-leading journal publishing research concerned with stochastic processes and their applications in the modelling, analysis and optimization of stochastic systems, i.e. processes characterized both by temporal or spatial evolution and by the presence of random effects. Articles are published dealing with all aspects of stochastic systems analysis, characterization problems, stochastic modelling and identification, optimization, filtering and control and with related questions in the theory of stochastic processes. The journal also solicits papers dealing with significant applications of stochastic process theory to problems in engineering systems, the physical and life sciences, economics and other areas. Proposals for special issues in cutting-edge areas are welcome and should be directed to the Editor-in-Chief who will review accordingly. In recent years there has been a growing interaction between current research in probability theory and problems in stochastic systems. The objective of Stochastics is to encourage this trend, promoting an awareness of the latest theoretical developments on the one hand and of mathematical problems arising in applications on the other.