"An impulse control of a geometric Brownian motion with quadratic costs."

Masamitsu Ohnishi, Motoh Tsujimura (2006)

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DOI: 10.1016/J.EJOR.2004.07.006

access: closed

type: Journal Article

metadata version: 2020-02-21

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Masamitsu Ohnishi, Motoh Tsujimura:
An impulse control of a geometric Brownian motion with quadratic costs. Eur. J. Oper. Res. 168(2): 311-321 (2006)

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