The stochastic maximum principle for a singular control problem
Author:
Affiliation:
1. a Faculty of Management , The University of Toronto , 246 Bloor St. West, Toronto, M5S 1V4, Canada
2. b Department of Mathematics , The University of British Columbia , Vancouver, V6T 1Z2, Canada
Publisher
Informa UK Limited
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442509408833921
Reference14 articles.
1. Conjugate convex functions in optimal stochastic control
2. Portfolio Selection with Transaction Costs
3. Ekeland , J. and Teman , R. 1976. “Convex Analysis and Variational Problems”. Amsterdam and American Elsevier, New York: North-Holland.
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