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Singular control of the drift of a Brownian system - MaRDI portal

Singular control of the drift of a Brownian system (Q2238968)

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Singular control of the drift of a Brownian system
scientific article

    Statements

    title
    Singular control of the drift of a Brownian system (English)
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    author
    Salvatore Federico
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    Giorgio Ferrari
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    Patrick Schuhmann
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    publication date
    2 November 2021
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    zbMATH Keywords
    singular stochastic control
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    Dynkin game
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    viscosity solution
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    free boundary
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    smooth-fit
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    Brownian motion
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    ordinary differential equation
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    cites work
    Q4714465
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    Q5462452
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    Q3754935
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    Q3996569
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    Q4032143
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    Q2901902
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    Q3360772
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    Q4255599
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    Identifiers

    Mathematics Subject Classification ID
    93E20
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    91A55
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    49L25
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    60J65
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    zbMATH DE Number
    7418988
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    OpenAlex ID
    W3159474879
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