A Degenerate Variance Control Problem with Discretionary Stopping
From MaRDI portal
Publication:3626705
DOI10.1214/074921708000000363zbMath1166.93032MaRDI QIDQ3626705
Daniel L. Ocone, Ananda P. N. Weerasinghe
Publication date: 22 May 2009
Published in: Institute of Mathematical Statistics Collections (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/074921708000000363
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
93E20: Optimal stochastic control
60H30: Applications of stochastic analysis (to PDEs, etc.)
Related Items