On a class of singular stochastic control problems driven by Lévy noise
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Publication:2274296
DOI10.1016/j.spa.2018.09.002zbMath1481.93146OpenAlexW2891907863MaRDI QIDQ2274296
Publication date: 19 September 2019
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2018.09.002
Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20) Portfolio theory (91G10)
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