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

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

Ayman Hindy1997

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Articlegreen1997

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

Ayman Hindy · Chi-fu Huang · Steven H. Zhu

39 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Economic theories and models Adaptive Dynamic Programming Control

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References

2005Controlled Markov Processes and Viscosity Solutions 1990Numerical Methods for Stochastic Control Problems in Continuous Time 1994Controlled markov processes and viscosity solutions 1984Stochastic differential equations with reflecting boundary conditions 1992Numerical Methods for Stochastic Control Problems in Continuous Time 1977Probability Methods for Approximations in Stochastic Control and for Elliptic Equations 1989Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem 1993Optimal Consumption and Portfolio Rules with Durability and Local Substitution

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Year1997

Typearticle

Published1997-02-01

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations39

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0165-1889(96)00933-5

openalex_workW2015691470

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