Optimal Switching with Constraints and Utility Maximization of an Indivisible Market
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/10080823X
Reference21 articles.
1. The Dirichlet Problem for Semilinear Second-Order Degenerate Elliptic Equations and Applications to Stochastic Exit Time Control Problems
2. On the Dirichlet problem for second-order elliptic integro-differential equations
3. On the Continuity of Stochastic Exit Time Control Problems
4. Weak Dynamic Programming Principle for Viscosity Solutions
5. Liquidity risk and arbitrage pricing theory
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