| Article ID: | iaor2001631 |
| Country: | Germany |
| Volume: | 51 |
| Issue: | 1 |
| Start Page Number: | 43 |
| End Page Number: | 68 |
| Publication Date: | Jan 2000 |
| Journal: | Mathematical Methods of Operations Research (Heidelberg) |
| Authors: | Cadenillas A. |
We present a survey of problems and methods contained in various works on consumption‐investment problems with transaction costs in continuous time. The methods are those of optimal stopping, stochastic singular control, and stochastic impulse control. We also describe some open problems in this active area of research.