A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
Author:
Publisher
Society for Industrial & Applied Mathematics (SIAM)
Subject
Applied Mathematics,Control and Optimization
Link
http://epubs.siam.org/doi/pdf/10.1137/060669905
Reference15 articles.
1. A Class of Solvable Impulse Control Problems
2. A class of solvable stochastic dividend optimization problems: on the general impact of flexibility on valuation
3. On the Optimal Stochastic Impulse Control of Linear Diffusions
4. OPTIMAL DIVIDEND POLICY WITH MEAN-REVERTING CASH RESERVOIR
5. Classical and Impulse Stochastic Control of the Exchange Rate Using Interest Rates and Reserves
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