A constrained stochastic control problem with application to an illiquid stock position build-up (Q6567497)
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scientific article; zbMATH DE number 7876465
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| English | A constrained stochastic control problem with application to an illiquid stock position build-up |
scientific article; zbMATH DE number 7876465 |
Statements
A constrained stochastic control problem with application to an illiquid stock position build-up (English)
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5 July 2024
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constrained stochastic control
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Lagrange multiplier
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numerical method
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0.954888880252838
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0.7820493578910828
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0.7804763317108154
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0.7585312724113464
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0.7539267539978027
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