SIAM Journal on Control and Optimization, Vol.57, No.1, 437-467, 2019
OPTIMAL INVESTMENT WITH TRANSACTION COSTS AND STOCHASTIC VOLATILITY PART II: FINITE HORIZON
In this companion paper to "Optimal Investment with Transaction Costs and Stochastic Volatility Part I: Infinite Horizon," we give an accuracy proof for the finite time optimal investment and consumption problem under fast mean-reverting stochastic volatility of a joint asymptotic expansion in a time scale parameter and the small transaction cost.
Keywords:transaction costs;optimal investment;asymptotic analysis;utility maximization;stochastic volatility