The Bellman equation for control of the running max of a diffusion and applications to look-back options

DOI10.1080/00036819308840158zbMath0788.49027OpenAlexW1997312835WikidataQ58148358 ScholiaQ58148358MaRDI QIDQ4711143

Emmanuel Nicholas Barron

Publication date: 25 June 1992

Published in: Applicable Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00036819308840158

zbMATH Keywords

diffusionvalue functionoblique derivative problem

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24) Economic growth models (91B62) Optimal stochastic control (93E20) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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