The Bellman equation for control of the running max of a diffusion and applications to look-back options (Q4711143)
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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)
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25 June 1992
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value function
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diffusion
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oblique derivative problem
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