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Optimal Dividend Policies with Transaction Costs for a Class of Diffusion Processes.

Lihua BaiJostein Paulsen
Published in: SIAM J. Control. Optim. (2010)
Keyphrases
  • diffusion processes
  • transaction costs
  • diffusion process
  • dynamic programming
  • denoising
  • optimal policy
  • multiscale
  • image analysis