A note on controlled diffusions with long finite horizon
โ 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.
๐ SIMILAR VOLUMES
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
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