The Bellman equation for control of the running max of a diffusion and applications to look-back options (Q4711143): Difference between revisions
From MaRDI portal
Set OpenAlex properties. |
Created claim: Wikidata QID (P12): Q58148358, #quickstatements; #temporary_batch_1712260040974 |
||
| Property / Wikidata QID | |||
| Property / Wikidata QID: Q58148358 / rank | |||
Normal rank | |||
Revision as of 21:57, 4 April 2024
scientific article; zbMATH DE number 1302
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The Bellman equation for control of the running max of a diffusion and applications to look-back options |
scientific article; zbMATH DE number 1302 |
Statements
The Bellman equation for control of the running max of a diffusion and applications to look-back options (English)
0 references
25 June 1992
0 references
value function
0 references
diffusion
0 references
oblique derivative problem
0 references
