Mémoire magistere

Controle optimal stochastique et application en finance

Salima Aoun ; Abdelhakim Necir, Directeur de thèse | Biskra [Algerie] : Université Mohamed Khider | 2010

This paper considers a stochastic control problem with linear dynamics, convex cost criterion, and convex state constraint, in which the control enters both the drift and diffusion coefficients. These coefficients are allowed to be random, and n[...]

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