Blar i SAM - Handelshøyskolen på emneord "Diffusion processes"
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Bounded variation control of Itô diffusions with exogenously restricted intervention times
(Advances in Applied Probability;46(1), Journal article; Peer reviewed, 2014)In this paper, bounded variation control of one-dimensional diffusion processes is considered. We assume that the agent is allowed to control the diffusion only at the jump times of an observable, independent Poisson ...