Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- 1 January 1984
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Control and Optimization
- Vol. 22 (1), 55-75
- https://doi.org/10.1137/0322005
Abstract
Two stochastic control problems of the storage or inventory type are considered for general diffusion processes. In the absorption problem, a diffusion process is controlled by subtracting a nondec...Keywords
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