Singular stochastic control in the presence of a state-dependent yield structure
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Publication:1411892
DOI10.1016/S0304-4149(99)00102-7zbMath1028.60082WikidataQ127109594 ScholiaQ127109594MaRDI QIDQ1411892
Publication date: 3 November 2003
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Optimal stochastic control (93E20) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)
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