Some Basic Properties of Optimization on the Constant Coefficient Investment-Consumption Model
XU Shi-meng, Z Yuzhong · Or Transactions · 2002
In the paper, the constant coefficient investment-consumption model under transaction costs is given, and some basic properties of discount function and value function are discussed, such as concavity, continuity, regularity of the value function, and an viscosity supersolution and existence of viscosity solution on the variational inequality.