Solving Impulse-Control Problems with Control Delays

DOI10.1007/978-1-4614-3433-7_3zbMath1296.91284OpenAlexW73330537MaRDI QIDQ2920950

Kumar Muthuraman, Qi Wu

Publication date: 29 September 2014

Published in: Topics in Numerical Methods for Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-1-4614-3433-7_3

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Ordinary differential equations with impulses (34A37) Optimal stochastic control (93E20) Financial applications of other theories (91G80)

Uses Software

• Matlab

Cites Work

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