Finite maturity caps and floors on continuous flows
From MaRDI portal
Publication:1029997
DOI10.1016/j.jedc.2006.12.012zbMath1163.91422MaRDI QIDQ1029997
Rafał Wojakowski, Mark B. Shackleton
Publication date: 1 July 2009
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2006.12.012
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
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