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20142026
most citedRepresentations associated to small nilpotent orbits for complex Spin groups

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q-fin.PM2017

A Numerical Scheme for A Singular control problem: Investment-Consumption Under Proportional Transaction Costs

Arash Fahim, Wan-Yu Tsai

This paper concerns the numerical solution of a fully nonlinear parabolic double obstacle problem arising from a finite portfolio selection with proportional transaction costs. We…