Search for tag: "reflected processes"

Lecture 5 duration 1 hour 56 minutes Lecture 5 Lecture 5	Lecture 5 Solution of the problem in terms of value function and optimal policy. reflected processes skorohod problem variational inequality verification theorem From Tiziano Vargiolu 3 plays 0
Lecture 2: Equations with unbounded coefficients… duration 1 hour 41 minutes Lecture 2: Equations with unbounded coefficients… Lecture 2: Equations with unbounded coefficients and H > 1/2	Lecture 2: Equations with unbounded coefficients and H > 1/2 1. Cox-Ingersoll-Ross equations with fBm. 2. Equations with unbounded drift. 3. Reflected Ornstein-Uhlenbeck equations. hurst coefficient drift cox-ingersoll-ross fractional brownian motion reflected processes ornstein-uhlenbeck From Tiziano Vargiolu 5 plays 0