CONTROL DIFFUSION PROCESSES WITH LIPSCHITZ CONTINUITY OF DRIFTS
Control diffusion processes has been found in a wide field of applications as in stochastic optimal control and in mathematical finance via the theory of hedging and nonlinear pricing theory for imperfect markets. In this paper we discuss the control diffusion process with time and space dependent c...
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| Format: | Article |
| Language: | English |
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Universitas Udayana
2012-11-01
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| Series: | Jurnal Matematika |
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| Online Access: | https://ojs.unud.ac.id/index.php/jmat/article/view/2920 |