A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs (2019)

First Author: Angelis T
Attributed to:  Optimal Prediction in Local Electricity Markets funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1287/moor.2018.0934

Publication URI: http://dx.doi.org/10.1287/moor.2018.0934

Type: Journal Article/Review

Parent Publication: Mathematics of Operations Research

Issue: 2