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Controlled markov processes, viscosity solutions and applications to mathematical finance

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Part of the Lecture Notes in Mathematics book series (LNMCIME,volume 1660)

Keywords

  • Transaction Cost
  • Stochastic Differential Equation
  • Viscosity Solution
  • Option Price
  • European Option

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© 1997 Springer-Verlag

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Soner, H.M. (1997). Controlled markov processes, viscosity solutions and applications to mathematical finance. In: Dolcetta, I.C., Lions, P.L. (eds) Viscosity Solutions and Applications. Lecture Notes in Mathematics, vol 1660. Springer, Berlin, Heidelberg. https://doi.org/10.1007/BFb0094297

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  • DOI: https://doi.org/10.1007/BFb0094297

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