Constrained optimality for controlled switching diffusions with an application to stock purchasing
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Publication:5120736
DOI10.1080/14697688.2019.1614210zbMath1441.91070OpenAlexW2959227049WikidataQ127548223 ScholiaQ127548223MaRDI QIDQ5120736
Publication date: 16 September 2020
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2019.1614210
Dynamic programming (90C39) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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