Kumar Muthuraman; Sunil Kumar

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KUMAR MUTHURAMAN; SUNIL KUMAR
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Solving Free-Boundary Problems with Applications in Finance

Solving Free-Boundary Problems with Applications in Finance

Stochastic control problems in which there are no bounds on the rate of control reduce to so-called free-boundary problems in partial differential equations (PDEs). In a free-boundary problem the solution of the PDE and the domain over which the PDE must be solved need to be determined simultaneously. Examples of such stochastic control problems...
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