Optimal expulsion and optimal confinement of a Brownian particle with a switching cost (Q744235)
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scientific article; zbMATH DE number 6351732
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| English | Optimal expulsion and optimal confinement of a Brownian particle with a switching cost |
scientific article; zbMATH DE number 6351732 |
Statements
Optimal expulsion and optimal confinement of a Brownian particle with a switching cost (English)
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6 October 2014
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stochastic control with switching cost
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principle of smooth fit
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free boundary problems
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martingale method
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0.7898715734481812
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0.7863532304763794
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0.7835962772369385
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0.783263623714447
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0.7811998724937439
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