The Value of Insight

DOI10.1287/moor.2019.1028zbMath1455.91246OpenAlexW3035142430MaRDI QIDQ3387920

L. C. G. Rogers, Philip A. Ernst

Publication date: 8 January 2021

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/moor.2019.1028

zbMATH Keywords

Hamilton-Jacobi-Bellman equationinsider tradingjump diffusion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Financial markets (91G15)

Cites Work

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