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Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem.
Amarjit Budhiraja
Kevin Ross
Published in:
SIAM J. Control. Optim. (2007)
Keyphrases
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stochastic control
numerical scheme
partial differential equations
control problems
queueing systems
optimal control
brownian motion
state space
anisotropic diffusion
operations management
image processing
pairwise
constrained optimization