Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem (Q5426919)
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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)
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16 November 2007
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singular control
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Hamilton-Jacobi-Bellman equations
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portfolio selection
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stochastic control
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free boundary problem
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Skorohod problem
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