Utility maximization with discretionary stopping

SIAM Journal on Control and Optimization

Volumn 39, Issue 1, 2000, Pages 306-329

  Karatzas, Ioannis ^a   Wang, Hui ^a  

^a Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

CONTROL SYSTEM ANALYSIS; MATHEMATICAL MODELS; STOCHASTIC CONTROL SYSTEMS; VARIATIONAL TECHNIQUES;

MARTINGALE REPRESENTATION; OPTIMAL STOPPING; UTILITY MAXIMIZATION; VARIATIONAL INEQUALITY;

OPTIMAL CONTROL SYSTEMS;

EID: 0034462129     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012998346323     Document Type: Article

References (20)

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