{"paper":{"title":"Consumption-Investment Problem with Transaction Costs for L\\'evy-Driven Price Processes","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.OC","authors_text":"Dimitri De Valli\\`ere, Emmanuel L\\'epinette, Yuri Kabanov","submitted_at":"2015-01-18T22:22:41Z","abstract_excerpt":"We consider an optimal control problem for a linear stochastic integro-diffe\\-rential equation with conic constraints on the phase variable and the control of singular-regular type. Our setting includes consumption-investment problems for models of financial markets in the presence of proportional transaction costs where the price of the assets are given by a geometric L\\'evy process and the investor is allowed to take short positions. We prove that the Bellman function of the problem is a viscosity solution of the HJB equation. A uniqueness theorem for the solution of the latter is establishe"},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1501.04361","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}