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Lecture 4

duration 1 hour 34 minutes

Lecture 4

Lecture 4

Lecture 4

A general one-dimensional singular control problem. Verification Theorem and solution.

verification theorem
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From  Tiziano Vargiolu 7 plays 0  
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Lecture 3

duration 1 hour 28 minutes

Lecture 3

Lecture 3

Lecture 3

Links between singular stochastic control and stochastic optimal stopping problems. A general one-dimensional singular control problem. Concepts of resolvent, scale function and speed measure of…

singular control
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From  Tiziano Vargiolu 8 plays 0