Convergent numerical scheme for singular stochastic control with state constraints in a portfolio selection problem

SIAM Journal on Control and Optimization

Volumn 45, Issue 6, 2007, Pages 2169-2206

  Budhiraja, Amarjit ^a   Ross, Kevin ^a  

^a The University of North Carolina at Chapel Hill   (United States)

Author keywords

Free boundary problem; Hamilton Jacobi Bellman equations; Portfolio selection; Singular control; Skorohod problem; Stochastic control

Indexed keywords

FREE BOUNDARY PROBLEM; HAMILTON-JACOBI-BELLMAN EQUATIONS; PORTFOLIO SELECTION; SKOROHOD PROBLEM;

CONSTRAINT THEORY; CONVERGENCE OF NUMERICAL METHODS; MARKOV PROCESSES; NUMERICAL ANALYSIS; OPTIMAL CONTROL SYSTEMS; PROBLEM SOLVING;

STOCHASTIC CONTROL SYSTEMS;

EID: 36448960578     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/050640515     Document Type: Article

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