Optimal cash management problem for compound Poisson processes with two-sided jumps (Q2338073)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal cash management problem for compound Poisson processes with two-sided jumps |
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Optimal cash management problem for compound Poisson processes with two-sided jumps (English)
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20 November 2019
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cash management
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compound Poisson process
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target-trigger control
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cost functionals
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Hamilton-Jacobi-Bellman (HJB) equation
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