Reikvam, Kristin; Benth, Fred Espen; Karlsen, Kenneth … - In: Finance and Stochastics 5 (2001) 4, pp. 447-467
stochastic control problem and the associated Hamilton-Jacobi-Bellman equation is a nonlinear second order degenerate elliptic … processes as driving noise instead of the more frequently used Brownian motion. The optimization problem is a singular …
