Publication:3803942

zbMath0656.60082MaRDI QIDQ3803942

Mark H. A. Davis

Publication date: 1988

zbMATH Keywords

local times; utility function; control problem; optimal buying and selling policies

Mathematics Subject Classification ID

60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)

93E20: Optimal stochastic control

49J30: Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.)

60J55: Local time and additive functionals

49J55: Existence of optimal solutions to problems involving randomness

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