Optimal Control of the Running Max
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/0329052
Reference23 articles.
1. Replacement with Nonconstant Operating Cost
2. The Bellman equation for control of the running max of a diffusion and applications to look-back options
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5. Markov additive processes. II
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