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

Christophette Blanchet-Scalliet; Rajna Gibson Brandon; Benoîte de Saporta; Denis Talay; Etienne Tanré

HAL: hal-00594200, version 1

DOI: 10.1515/9783110213140.53

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Viscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.
Blanchet-Scalliet C., Gibson Brandon R., de Saporta B., Talay D., Tanré E.
Dans Advanced Financial Modelling, Albrecher Hansjörg, Runggaldier Wolfgang J. and Schachermayer Walter (Ed.) (2009) 53-90 - http://hal.archives-ouvertes.fr/hal-00594200

Publication type:

Scientific Book chapter

Subject:

Mathematics/Probability

Quantitative Finance/Computational Finance

Title:

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

Author(s):

Christophette Blanchet-Scalliet (

) ¹, Rajna Gibson Brandon ², Benoîte de Saporta (

) ^3, 4, 5, Denis Talay (

) ⁶, Etienne Tanré (

) ⁶

Laboratory:

1:	Institut Camille Jordan (ICJ)

	CNRS : UMR5208 – Université Claude Bernard - Lyon I – Ecole Centrale de Lyon – Institut National des Sciences Appliquées (INSA) - Lyon

	Bât. Jean Braconnier n° 101 43 Bd du 11 novembre 1918 69622 VILLEURBANNE CEDEX

	France

2:	Swiss Finance Institute [Geneva]

	http://www.swissfinanceinstitute.ch

	Swiss Finance Institute

	c/o University of Geneva 40 bd. du Pont d'Arve CH-1211 Geneva 4 Switzerland

	Switzerland

3:	Groupe de Recherche en Economie Théorique et Appliquée (GREThA)

	http://www.gretha.fr/

	CNRS : UMR5113 – Université Montesquieu - Bordeaux IV

	Avenue Léon Duguit 33608 PESSAC

	France

4:	Institut de Mathématiques de Bordeaux (IMB)

	http://www.math.u-bordeaux.fr/IMB/

	CNRS : UMR5251 – Université Sciences et Technologies - Bordeaux I – Université Victor Segalen - Bordeaux II

	351 cours de la Libération 33405 TALENCE CEDEX

	France

5:	CQFD (INRIA Bordeaux - Sud-Ouest)

	INRIA – Université Sciences et Technologies - Bordeaux I – Université Victor Segalen - Bordeaux II – CNRS : UMR5251

	France

6:	TOSCA (INRIA Sophia Antipolis / INRIA Lorraine / IECN)

	INRIA – CNRS : UMR7502 – Université Henri Poincaré - Nancy I – Université Nancy II – Institut National Polytechnique de Lorraine (INPL)

	2004 route des Lucioles BP 93 F-06902 Sophia Antipolis (France)

	France

Fulltext language:

English

Book title:

Advanced Financial Modelling

Commercial editor:

Walter de Gruyter

Publication date:

2009

Page:

53-90

Scientifics editor:

Albrecher Hansjörg, Runggaldier Wolfgang J. and Schachermayer Walter

Serie:

Radon series on computational and applied mathematics 8

Keyword(s):

stochastic control – HJB inequalities – viscosity solutions – dynamic programming principle – portfolio allocation – transaction costs


hal-00594200, version 1
http://hal.archives-ouvertes.fr/hal-00594200
oai:hal.archives-ouvertes.fr:hal-00594200
From: Christophette Blanchet-Scalliet <>
Submitted on: Thursday, 19 May 2011 11:07:22
Updated on: Wednesday, 25 May 2011 15:35:39