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Chapitre D'ouvrage Année : 2009

Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.

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hal-00594200 , version 1 (19-05-2011)

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Christophette Blanchet-Scalliet, Rajna Gibson Brandon, Benoîte de Saporta, Denis Talay, Etienne Tanré. Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.. Albrecher Hansjörg, Runggaldier Wolfgang J. and Schachermayer Walter. Advanced Financial Modelling, Walter de Gruyter, pp.53-90, 2009, Radon series on computational and applied mathematics 8, ⟨10.1515/9783110213140.53⟩. ⟨hal-00594200⟩
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