Some diffusion models for the Mabinogion sheep problem of Williams

Advances in Applied Probability

Volumn 28, Issue 3, 1996, Pages 763-783

  Chan, Terence ^a  

^a HERIOT WATT UNIVERSITY   (United Kingdom)

Author keywords

Free boundary problem; Martingale principle of optimality; Singular control; Stochastic control

Indexed keywords

EID: 0013552699     PISSN: 00018678     EISSN: None     Source Type: Journal    
DOI: 10.1017/S0001867800046486     Document Type: Article

References (2)

1. DAVIS, M. H. A. AND NORMAN, A. R. (1990) Portfolio selection with transaction costs. Math. Operat. Res. 15, 676-713.
2. WILLIAMS, D. (1991) Probability with Martingales. Cambridge University Press, Cambridge.