Optimal singular stochastic control problem with pay-off and complementary functions

MaRDI QIDQ5436037zbMATH OpenFDO

Authors Rui-cheng Yang, Jihong Yuan, Kunhui Liu

Publication date 14 January 2008

zbMATH Keywords

drift parameterIto formulaoptimal return functionWiener process

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Optimal stochastic control (93E20)

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Cited in

(1)

• scientific article; zbMATH DE number 5710923 (Why is no real title available?)

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