标题： 最优消费与投资中的固定与比例交易成本 显示英文标题

标题： Optimal Consumption and Investment with Fixed and Proportional Transaction Costs

摘要： 经典的无限时间范围最优投资与消费问题在存在交易成本的情况下被研究。 比例成本和固定成本以及一般的效用函数都被考虑在内。 在一般情况下证明了弱动态规划，并提供了动态规划方程可能不连续的粘性解的比较结果。 详细的数值实验说明了最优投资策略的几个特性。 显示英文摘要

摘要： The classical optimal investment and consumption problem with infinite horizon is studied in the presence of transaction costs. Both proportional and fixed costs as well as general utility functions are considered. Weak dynamic programming is proved in the general setting and a comparison result for possibly discontinuous viscosity solutions of the dynamic programming equation is provided. Detailed numerical experiments illustrate several properties of the optimal investment strategies.