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Numerical Methods for Stochastic Singular Control Problems with State-Dependent Control

✍ Scribed by Kushner, Harold J.

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

Singular Stochastic Control Problems

✍ Dufour, F.; Miller, B. 📂 Article 📅 2004 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 248 KB

Convergent Numerical Scheme for Singular

✍ Budhiraja, Amarjit; Ross, Kevin 📂 Article 📅 2007 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 418 KB

A Numerical Method for Solving Stochasti

✍ Walailuck Chavanasporn; Christian-Oliver Ewald 📂 Article 📅 2011 🏛 Springer US 🌐 English ⚖ 462 KB

Maximum Principle for Singular Stochasti

✍ Dufour, F.; Miller, B. 📂 Article 📅 2006 🏛 Society for Industrial and Applied Mathematics 🌐 English ⚖ 317 KB

[Lecture Notes in Control and Informatio

✍ Karatzas, Ioannis; Ocone, Daniel 📂 Article 📅 1992 🏛 Springer-Verlag ⚖ 525 KB

Necessary conditions for optimal singula

✍ Dufour, F.; Miller, B. 📂 Article 📅 2007 🏛 Taylor and Francis Group 🌐 English ⚖ 358 KB