๐”– Bobbio Scriptorium
โœฆ   LIBER   โœฆ

A note on controlled diffusions with long finite horizon

โœ Scribed by Mrinal K. Ghosh; Steven I. Marcus


Publisher
Elsevier Science
Year
1991
Tongue
English
Weight
354 KB
Volume
16
Category
Article
ISSN
0167-6911

No coin nor oath required. For personal study only.


๐Ÿ“œ SIMILAR VOLUMES


A note on optimal stopping of diffusions
โœ Jukka Lempa ๐Ÿ“‚ Article ๐Ÿ“… 2010 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 581 KB

We consider a class of optimal stopping problems of diffusions with a two-sided optimal rule. We propose an approach for finding and characterizing the solution. We establish that the optimal stopping rule can be associated with the unique fixed point of an auxiliary function. The results are illust

A note on second-order finite-difference
โœ Daniele Funaro ๐Ÿ“‚ Article ๐Ÿ“… 1999 ๐Ÿ› John Wiley and Sons ๐ŸŒ English โš– 85 KB ๐Ÿ‘ 2 views

An artificial-viscosity finite-difference scheme is introduced for stabilizing the solutions of advectiondiffusion equations. Although only the linear one-dimensional case is discussed, the method is easily susceptible to generalization. Some theory and comparisons with other well-known schemes are