Maturity randomization for stochastic control problems (Q2496502)

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Maturity randomization for stochastic control problems
scientific article

    Statements

    title
    Maturity randomization for stochastic control problems (English)
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    author
    Bruno Bouchard
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    Nicole El Karoui
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    Nizar Touzi
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    publication date
    10 July 2006
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    zbMATH Keywords
    optimal stopping
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    stochastic control
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    uncertain volatility models
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    35C15
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    91Gxx
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    zbMATH DE Number
    5039570
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