{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,8,21]],"date-time":"2026-08-21T14:29:38Z","timestamp":1787322578355,"version":"build-2736575974"},"reference-count":15,"publisher":"Society for Industrial & Applied Mathematics (SIAM)","issue":"6","content-domain":{"domain":[],"crossmark-restriction":false},"short-container-title":["SIAM J. Control Optim."],"published-print":{"date-parts":[[2013,1]]},"abstract":"<jats:p>We revisit the optimal investment and consumption model of Davis and Norman [Math. Oper. Res., 15 (1990), pp. 676--713] and Shreve and Soner [Ann. Appl. Probab., 4 (1994), pp. 609--692], following a shadow-price approach similar to that of Kallsen and Muhle-Karbe [Ann. Appl. Probab., 20 (2010), pp. 1341--1358]. Making use of the completeness of the model without transaction costs, we reformulate and reduce the Hamilton--Jacobi--Bellman equation for this singular stochastic control problem to a nonstandard free-boundary problem for a first-order ODE with an integral constraint. Having shown that the free boundary problem has a smooth solution, we use it to construct the solution of the original optimal investment\/consumption problem in a self-contained manner and without any recourse to the dynamic programming principle. Furthermore, we provide an explicit characterization of model parameters for which the value function is finite.<\/jats:p>","DOI":"10.1137\/120881373","type":"journal-article","created":{"date-parts":[[2013,12,11]],"date-time":"2013-12-11T13:35:30Z","timestamp":1386768930000},"page":"4414-4449","source":"Crossref","is-referenced-by-count":32,"title":["Shadow Prices and Well-Posedness in the Problem of Optimal Investment and Consumption with Transaction Costs"],"prefix":"10.1137","volume":"51","author":[{"given":"Jin Hyuk","family":"Choi","sequence":"first","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Mihai","family":"S\u00eerbu","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]},{"given":"Gordan","family":"\u017ditkovi\u0107","sequence":"additional","affiliation":[],"role":[{"vocabulary":"crossref","role":"author"}]}],"member":"351","published-online":{"date-parts":[[2013,12,11]]},"reference":[{"key":"atypb1","unstructured":"J. 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