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    SIAMCO
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    A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
    13 years 4 months ago
    A Direct Solution Method for Stochastic Impulse Control Problems of One-dimensional Diffusions
    Download  www.econ.kyoto-u.ac.jp
    We consider stochastic impulse control problems where the process is driven by one-dimensional diffusions. Impulse control problems are widely applied to financial engineering and...
    Masahiko Egami
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