On an Investment-Consumption Model With Transaction Costs SIAM Journal on Control and Optimization Volume 34, Number 1 pp. On an Investment-Consumption Model With Transaction Costs Marianne Akian, Jose Luis Menaldi, and Agnes Sulem Abstract. We suppose that transactions between the assets incur a cost proportional to the size of the transaction. The problem is to maximize the total utility of consumption.
Dynamic programming leads to a variational inequality for the value function.
Existence and uniqueness of a viscosity solution are proved. The variational inequality is solved by using a numerical algorithm based on policies, iterations, and multigrid methods.