Optimal control of ultradiffusion processes with application to mathematical finance (Q4983283): Difference between revisions

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Latest revision as of 22:12, 9 July 2024

scientific article; zbMATH DE number 6419492
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English
Optimal control of ultradiffusion processes with application to mathematical finance
scientific article; zbMATH DE number 6419492

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    Optimal control of ultradiffusion processes with application to mathematical finance (English)
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    25 March 2015
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    optimal control
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    ultradiffusion process
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    stochastic differential equation
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    Hamilton-Jacobi equation
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    limit orders
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    asset liquidity
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    transaction costs
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