18 citations to 10.1007/s00780-003-0114-3 (Crossref Cited-By Service)
  1. Christoph Belak, Jörn Sass, “Finite-horizon optimal investment with transaction costs: construction of the optimal strategies”, Finance Stoch, 23, № 4, 2019, 861  crossref
  2. Bruno Bouchard, Nizar Touzi, “Weak Dynamic Programming Principle for Viscosity Solutions”, SIAM J. Control Optim., 49, № 3, 2011, 948  crossref
  3. Cristina Costantini, Thomas Kurtz, “Viscosity methods giving uniqueness for martingale problems”, Electron. J. Probab., 20, № none, 2015  crossref
  4. Min Dai, Fahuai Yi, “Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem”, Journal of Differential Equations, 246, № 4, 2009, 1445  crossref
  5. Lukasz Stettner, Optimality and Risk - Modern Trends in Mathematical Finance, 2009, 237  crossref
  6. Julien Claisse, Denis Talay, Xiaolu Tan, “A Pseudo-Markov Property for Controlled Diffusion Processes”, SIAM J. Control Optim., 54, № 2, 2016, 1017  crossref
  7. Albrecht Irle, Jörn Sass, “Optimal portfolio policies under fixed and proportional transaction costs”, Advances in Applied Probability, 38, № 4, 2006, 916  crossref
  8. MINGLIAN LIN, INDRANIL SENGUPTA, “ANALYSIS OF OPTIMAL PORTFOLIO ON FINITE AND SMALL-TIME HORIZONS FOR A STOCHASTIC VOLATILITY MODEL WITH MULTIPLE CORRELATED ASSETS”, Int. J. Theor. Appl. Finan., 27, № 05n06, 2024, 2450023  crossref
Предыдущая
1
2