Finite horizon stochastic optimal switching and impulse controls with a viscosity solution approach
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Publication:4286665
DOI10.1080/17442509308833860zbMath0795.93103OpenAlexW2074741901MaRDI QIDQ4286665
Publication date: 27 March 1994
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509308833860
Hamilton-Jacobi-Bellman equationviscosity solutionBellman dynamic programming principlestochastic optimal switching control
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