Maturity randomization for stochastic control problems
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Publication:2496502
DOI10.1214/105051605000000593zbMath1177.93097arXivmath/0602462MaRDI QIDQ2496502
Nizar Touzi, Bruno Bouchard, Nicole El Karoui
Publication date: 10 July 2006
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/math/0602462
93E20: Optimal stochastic control
35C15: Integral representations of solutions to PDEs
91Gxx: Actuarial science and mathematical finance
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