@article{6e9d94e966ae4621bc510b53877504c7,
title = "Optimal investment with transaction costs and stochastic volatility Part II: Finite Horizon",
abstract = "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 = "Asymptotic analysis, Optimal investment, Stochastic volatility, Transaction costs, Utility maximization",
author = "Maxim Bichuch and Ronnie Sircar",
note = "Funding Information: \ast Received by the editors August 20, 2018; accepted for publication November 28, 2018; published electronically January 30, 2019. http://www.siam.org/journals/sicon/57-1/M120845.html Funding: The first author's work was partially supported by NSF grant DMS-0739195 and by the Acheson J. Duncan Fund for the Advancement of Research in Statistics. The second author's work was partially supported by NSF grant DMS-1211906. \dagger Department of Applied Mathematics \& Statistics, Johns Hopkins University, Baltimore, MD 21218 (mbichuch@jhu.edu). \ddagger Department of Operations Research and Financial Engineering, Princeton University, Princeton, NJ 08544 (sircar@princeton.edu). Publisher Copyright: {\textcopyright} 2019 Society for Industrial and Applied Mathematics.",
year = "2019",
doi = "10.1137/18M1208459",
language = "English (US)",
volume = "57",
pages = "437--467",
journal = "SIAM Journal on Control and Optimization",
issn = "0363-0129",
publisher = "Society for Industrial and Applied Mathematics Publications",
number = "1",
}