Graph Options
放置していたGOの論文に取り掛かる．
念のために論文レビューしてみたら，以下のような論文が：
- Eugene Khmelnitsky, A Combinatorial, Graph-Based Solution Method for a Class of Continuous-Time Optimal Control Problems, MATHEMATICS OF OPERATIONS RESEARCH, Vol. 27, No. 2, 2002.
我々のアプローチとは全く違うものと思われるが，念のために文献複写を依頼．
ついでに以下の文献複写も依頼：
- Svetlana Boyarchenko and Sergei Levendorski, Exit problems in regime-switching models, Journal of Mathematical Economics, Volume 44, Issue 2, 2008, doi:10.1016/j.jmateco.2007.07.001
- Mihail Zervos, A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping, SIAM Journal on Control and Optimization, Volume 42, Issue 2, pp. 397-421, 2003.
- Thamayanthi Chellathuraia and Thangaraj Draviam, Dynamic portfolio selection with fixed and/or proportional transaction costs using non-singular stochastic optimal control theory, Journal of Economic Dynamics and Control, pp. 2168-2195, 2007.
そういえば
- Vollert, A., A Stochastic Control Framework for Real Options in Strategic Valuation, Birkhäuser, 2003.
も目を通しておかないとな．
