A finite difference scheme for variational inequalities arising in stochastic control problems with several singular control variables
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Publication:1997321
DOI10.1016/j.matcom.2018.06.013OpenAlexW2816445332WikidataQ129564890 ScholiaQ129564890MaRDI QIDQ1997321
Yuta Yaegashi, Hidekazu Yoshioka
Publication date: 2 March 2021
Published in: Mathematics and Computers in Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.matcom.2018.06.013
variational inequalityfinite difference schemefree boundarystochastic differential gamesingular stochastic control
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