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A second-order maximum principle for singular optimal stochastic controls
Work
Year: 2010
Type: article
Abstract: A singular optimal stochastic control problem is studied. Asecond-order maximum principle is presented. The second-orderadjoint processes are involved, though the diffusion of the controlsystem is con... more
Source: Discrete and Continuous Dynamical Systems - B
Author Shanjian Tang
Cites: 9
Cited by: 24
Related to: 10
FWCI:
Citation percentile (by year/subfield): 89.72
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Open Access status: bronze