Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem (Q5426919): Difference between revisions
From MaRDI portal
Created a new Item |
Added link to MaRDI item. |
||
| links / mardi / name | links / mardi / name | ||
Revision as of 03:39, 9 February 2024
scientific article; zbMATH DE number 5212513
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem |
scientific article; zbMATH DE number 5212513 |
Statements
Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem (English)
0 references
16 November 2007
0 references
singular control
0 references
Hamilton-Jacobi-Bellman equations
0 references
portfolio selection
0 references
stochastic control
0 references
free boundary problem
0 references
Skorohod problem
0 references
