BibTeX
@TECHREPORT{Peskir01maximumprocess,
author = {Goran Peskir},
title = {Maximum process problems in optimal control theory},
institution = {},
year = {2001}
}
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Abstract
Given a standard Brownian motion (Bt)t 0 and the equation of motion: dXt = vt dt + p 2 dBt
Citations
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