The existence of optimal bang-bang controls for GMxB contracts (bibtex)
by P. Azimzadeh, P. A. Forsyth
Bibtex Entry:
@article {g_MR3316194,
  KEYWORDS = {publications},
    AUTHOR = {Azimzadeh, P. and Forsyth, P. A.},
     TITLE = {The existence of optimal bang-bang controls for {GM}x{B}
              contracts},
   JOURNAL = {SIAM J. Financial Math.},
  FJOURNAL = {SIAM Journal on Financial Mathematics},
    VOLUME = {6},
      YEAR = {2015},
    NUMBER = {1},
     PAGES = {117--139},
      ISSN = {1945-497X},
   MRCLASS = {91G80 (49J30 65M06 93E20)},
  MRNUMBER = {3316194},
MRREVIEWER = {Yuecai Han},
       DOI = {10.1137/140953885},
       URL = {https://doi.org/10.1137/140953885}
}
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