A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables (Q1997321)
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scientific article; zbMATH DE number 7316567
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables |
scientific article; zbMATH DE number 7316567 |
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A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables (English)
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2 March 2021
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finite difference scheme
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singular stochastic control
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variational inequality
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free boundary
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stochastic differential game
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