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Optimal Switching of One-Dimensional Reflected BSDEs and Associated Multidimensional BSDEs with Oblique Reflection.
Shanjian Tang
Wei Zhong
Hyeng Keun Koo
Published in:
SIAM J. Control. Optim. (2011)
Keyphrases
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stochastic differential equations
maximum a posteriori estimation
brownian motion
multi dimensional
optimal control
dynamic programming
additive gaussian noise
optimal solution
closed form solutions
closed form