Optimal market dealing under constraints
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Publication:2401520
DOI10.1007/s10957-016-1040-9zbMath1377.91170OpenAlexW2558417247MaRDI QIDQ2401520
Mohammed Mnif, Etienne Chevalier, Vathana Ly Vath, M'hamed Gaigi
Publication date: 1 September 2017
Published in: Journal of Optimization Theory and Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10957-016-1040-9
Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)
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