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Real Options Problem with Nonsmooth Obstacle - MaRDI portal

Real Options Problem with Nonsmooth Obstacle (Q5019591)

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scientific article; zbMATH DE number 7454672
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Real Options Problem with Nonsmooth Obstacle
scientific article; zbMATH DE number 7454672

    Statements

    title
    Real Options Problem with Nonsmooth Obstacle (English)
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    author
    Subas Acharya
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    Alejandro Rivera
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    Alain Bensoussan
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    Dmitrii I. Rachinskii
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    publication date
    10 January 2022
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    zbMATH Keywords
    stochastic optimal control
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    variational inequality
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    weak formulation
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    strong two-threshold solution
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    real options
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    Identifiers

    DOI
    10.1137/20M1386815
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    zbMATH DE Number
    7454672
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