Open AccessConvergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
Author(s) -
Amarjit Budhiraja,
Kevin J. Ross
Publication year - 2007
Publication title -
carolina digital repository (university of north carolina at chapel hill)
Language(s) - English
DOI - 10.17615/b8yx-2824
Subject(s) - selection (genetic algorithm) , scheme (mathematics) , portfolio , mathematical optimization , state (computer science) , control (management) , stochastic control , mathematics , computer science , mathematical economics , optimal control , economics , artificial intelligence , mathematical analysis , algorithm , finance