Optimal and Suboptimal Control of a Standard Brownian Motion
Work
Year: 2016
Type: article
Abstract: The problem of optimally controlling a standard Brownian motion until a fixed final time is considered in the case when the final cost function is an even function. Two particular problems are solved... more
Source: Archives of Control Sciences
Author Mario Lefebvre
Institution Polytechnique Montréal
Cites: 4
Cited by: 1
Related to: 10
FWCI:
Citation percentile (by year/subfield): 53.46
Subfield: Finance
Domain: Social Sciences
Open Access status: diamond