Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes
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Publication:5388746
DOI10.1239/jap/1331216839zbMath1253.93001arXiv1008.2363OpenAlexW2155300845MaRDI QIDQ5388746
Andreas E. Kyprianou, Ronnie Loeffen, José Luis Pérez Garmendia
Publication date: 20 April 2012
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1008.2363
Processes with independent increments; Lévy processes (60G51) Research exposition (monographs, survey articles) pertaining to systems and control theory (93-02) Optimal stochastic control (93E20) Portfolio theory (91G10) Markov processes (60J99)
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