Singular stochastic control in the presence of a state-dependent yield structure

Stochastic Processes and their Applications

Volumn 86, Issue 2, 2000, Pages 323-343

  Alvarez, Luis H R ^a  

^a UNIVERSITY OF TURKU   (Finland)

Author keywords

60J60; 60J70; 92D25; Green kernel; Linear diffusion; Optimal reflection; Singular stochastic control; Value function

Indexed keywords

EID: 0007527313     PISSN: 03044149     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4149(99)00102-7     Document Type: Article

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