On the smoothness of value functions and the existence of optimal strategies in diffusion models (Q900609)
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scientific article; zbMATH DE number 6523565
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the smoothness of value functions and the existence of optimal strategies in diffusion models |
scientific article; zbMATH DE number 6523565 |
Statements
On the smoothness of value functions and the existence of optimal strategies in diffusion models (English)
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22 December 2015
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optimal control
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optimal stopping
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smooth pasting
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super contact
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Markov control
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HJB equation
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