A control problem with fuel constraint and Dawson-Watanabe superprocesses
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Publication:389072
DOI10.1214/12-AAP908zbMath1288.60100arXiv1207.5809OpenAlexW2026656088MaRDI QIDQ389072
Publication date: 17 January 2014
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1207.5809
superprocessoptimal stochastic controloptimal trade execution\(J\)-functionalfuel constraintlog-Laplace equation
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Stochastic integral equations (60H20) Superprocesses (60J68)
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