Multidimensional investment problem

Christensen, S; Salminen, P

Christensen, S (reprint author), Univ Hamburg, Dept Math, Res Grp Stat & Stochast Proc, Bundesstr 55 Geomatikum, D-20146 Hamburg, Germany.

MATHEMATICS AND FINANCIAL ECONOMICS, 2018; 12 (1): 75

Abstract

In this paper we demonstrate that the Riesz representation of excessive functions is a useful and enlightening tool to study optimal stopping problems......

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