Solution of a two-dimensional stochastic investment problem

DOI10.1016/S0096-3003(97)10155-2zbMath0947.91046OpenAlexW2023790393MaRDI QIDQ1294193

O. O. Ugbebor, Stephen E. Onah

Publication date: 29 June 1999

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0096-3003(97)10155-2

zbMATH Keywords

stochastic differential equationfinite difference method

Mathematics Subject Classification ID

Cites Work

• Unnamed Item
• Stochastic differential equations. An introduction with applications
• Linear and quasilinear elliptic equations
• A Class of Solvable Stochastic Investment Problems Involving Singular Controls

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