Optimal control of ultradiffusion processes with application to mathematical finance (Q4983283)
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scientific article; zbMATH DE number 6419492
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Optimal control of ultradiffusion processes with application to mathematical finance |
scientific article; zbMATH DE number 6419492 |
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Optimal control of ultradiffusion processes with application to mathematical finance (English)
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25 March 2015
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optimal control
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ultradiffusion process
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stochastic differential equation
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Hamilton-Jacobi equation
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limit orders
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asset liquidity
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transaction costs
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