Convex duality for stochastic singular control problems
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Publication:525303
DOI10.1214/16-AAP1209zbMath1360.93765arXiv1407.7717MaRDI QIDQ525303
Publication date: 3 May 2017
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1407.7717
Optimal stochastic control (93E20) Financial applications of other theories (91G80) Individual preferences (91B08) Applications of functional analysis in optimization, convex analysis, mathematical programming, economics (46N10)
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