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hal.structure.identifierInstitut Camille Jordan [ICJ]
dc.contributor.authorBLANCHET-SCALLIET, Christophette
hal.structure.identifierSwiss Finance Institute [Geneva]
dc.contributor.authorGIBSON BRANDON, Rajna
hal.structure.identifierGroupe de Recherche en Economie Théorique et Appliquée [GREThA]
hal.structure.identifierInstitut de Mathématiques de Bordeaux [IMB]
hal.structure.identifierQuality control and dynamic reliability [CQFD]
dc.contributor.authorDE SAPORTA, Benoîte
hal.structure.identifierSimuler et calibrer des modèles stochastiques [TOSCA]
dc.contributor.authorTALAY, Denis
hal.structure.identifierSimuler et calibrer des modèles stochastiques [TOSCA]
dc.contributor.authorTANRÉ, Etienne
dc.contributor.editorAlbrecher Hansjörg, Runggaldier Wolfgang J. and Schachermayer Walter
dc.date.accessioned2024-04-04T02:27:00Z
dc.date.available2024-04-04T02:27:00Z
dc.date.issued2009
dc.identifier.urihttps://oskar-bordeaux.fr/handle/20.500.12278/189996
dc.language.isoen
dc.publisherWalter de Gruyter
dc.source.titleAdvanced Financial Modelling
dc.subject.enstochastic control
dc.subject.enHJB inequalities
dc.subject.enviscosity solutions
dc.subject.endynamic programming principle
dc.subject.enportfolio allocation
dc.subject.entransaction costs
dc.title.enViscosity solutions to optimal portfolio allocation problems in models with random time changes and transaction costs.
dc.typeChapitre d'ouvrage
dc.identifier.doi10.1515/9783110213140.53
dc.subject.halMathématiques [math]/Probabilités [math.PR]
dc.subject.halÉconomie et finance quantitative [q-fin]/Finance quantitative [q-fin.CP]
bordeaux.page53-90
bordeaux.hal.laboratoriesInstitut de Mathématiques de Bordeaux (IMB) - UMR 5251*
bordeaux.institutionUniversité de Bordeaux
bordeaux.institutionBordeaux INP
bordeaux.institutionCNRS
bordeaux.title.proceedingAdvanced Financial Modelling
hal.identifierhal-00594200
hal.version1
hal.popularnon
hal.audienceNon spécifiée
hal.origin.linkhttps://hal.archives-ouvertes.fr//hal-00594200v1
bordeaux.COinSctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.btitle=Advanced%20Financial%20Modelling&rft.date=2009&rft.spage=53-90&rft.epage=53-90&rft.au=BLANCHET-SCALLIET,%20Christophette&GIBSON%20BRANDON,%20Rajna&DE%20SAPORTA,%20Beno%C3%AEte&TALAY,%20Denis&TANR%C3%89,%20Etienne&rft.genre=unknown


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