scientific article; zbMATH DE number 1897413
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Publication:4802408
zbMATH Open1014.91042MaRDI QIDQ4802408FDOQ4802408
Authors: Agnès Sulem, Jean-Philippe Chancelier, B. Øksendal 
Publication date: 27 April 2003
Title of this publication is not available (Why is that?)
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optimal stoppingportfolio optimizationimpulse controlHamilton-Jacobi-Bellman variational inequalitycombined stochastic control
Cited In (12)
- Infinite reload options: pricing and analysis
- Optimal consumption and investment strategies with a perishable and an indivisible durable consumption good
- Optimal exploitation of a resource with stochastic population dynamics and delayed renewal
- Weakly chained matrices, policy iteration, and impulse control
- Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory
- A fixed-point policy-iteration-type algorithm for symmetric nonzero-sum stochastic impulse control games
- Optimal impulse control of a portfolio with a fixed transaction cost
- A policy iteration algorithm for nonzero-sum stochastic impulse games
- A comparison of iterated optimal stopping and local policy iteration for American options under regime switching
- A policy iteration algorithm for fixed point problems with nonexpansive operators
- Variational Inequalities for Combined Control and Stopping
- A computational method for stochastic impulse control problems
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