Singular control of the drift of a Brownian system
Year of publication: |
2020
|
---|---|
Authors: | Federico, Salavatore ; Ferrari, Giorgio ; Schuhmann, Patrick |
Publisher: |
Bielefeld : Bielefeld University, Center for Mathematical Economics (IMW) |
Subject: | singular stochastic control | Dynkin game | viscosity solution | free boundary | smooth-t | Brownian motion | ordinary differential equation |
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