Numerical analysis of a free-boundary singular control problem in financial economics

Journal of Economic Dynamics and Control

Volumn 21, Issue 2-3, 1997, Pages 297-327

  Hindy, Ayman ^a   Huang, Chi Fu ^a   Zhu, Steven H ^b  

^a Long Term Capital Management   (United States)

^b NBD   (United States)

Author keywords

Markov chains; Variational inequality; Viscosity solution

Indexed keywords

EID: 0031067640     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/s0165-1889(96)00933-5     Document Type: Article

References (19)

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