Optimal investment strategy to minimize occupation time

Annals of Operations Research

Volumn 176, Issue 1, 2010, Pages 389-408

  Bayraktar, Erhan ^a   Young, Virginia R ^a  

^a UNIVERSITY OF MICHIGAN   (United States)

Author keywords

Free boundary problem; Occupation time; Optimal investment; Stochastic control

Indexed keywords

EID: 77949425249     PISSN: 02545330     EISSN: 15729338     Source Type: Journal    
DOI: 10.1007/s10479-008-0467-2     Document Type: Article

References (13)

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