The optimal control of the cheap monotone follower

Author:

Chiarolla Maria B.1,Haussmann Ulrich G.2

Affiliation:

1. a Mathematics Department , University of British Columbia , Vancouver, B.C, V6T1Z2, Canada

2. b Mathematics Department , University of British Columbia , Vancouver, B.C, V6T1Z2, Canada

Publisher

Informa UK Limited

Reference14 articles.

1. Additive Control of Stochastic Linear Systems with Finite Horizon

2. Portfolio Selection with Transaction Costs

3. Dellacherie , C. and Meyer , P. A. 1980. “Probabilités et Potential”. Paris: Hermann.

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