P. Azimzadeh, P. A. Forsyth. The Existence of Optimal Bang-Bang Controls for GMxB Contracts. SIAM J. Financial Math., 6(1):117-139, 2015. [doi]
@article{AzimzadehF15,
title = {The Existence of Optimal Bang-Bang Controls for GMxB Contracts},
author = {P. Azimzadeh and P. A. Forsyth},
year = {2015},
doi = {10.1137/140953885},
url = {http://dx.doi.org/10.1137/140953885},
researchr = {https://researchr.org/publication/AzimzadehF15},
cites = {0},
citedby = {0},
journal = {SIAM J. Financial Math.},
volume = {6},
number = {1},
pages = {117-139},
}