Probabilistic aspects of finite-fuel, reflected follower problems

DOI10.1007/BF00140120zbMath0654.93078OpenAlexW2043854977MaRDI QIDQ1108998

Ioannis Karatzas, Nicole El Karoui

Publication date: 1988

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00140120

zbMATH Keywords

dynamic programming equationoptimal stopping problemsfinite-fuel constraintreflected follower problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Random measures (60G57) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (21)

Nonlinear filtering of partially observed systems arising in singular stochastic optimal control ⋮ On a class of singular stochastic control problems for reflected diffusions ⋮ MFGs for partially reversible investment ⋮ Regular finite fuel stochastic control problems with exit time ⋮ Existence of singular optimal control laws for stochastic differential equations ⋮ The relaxed stochastic maximum principle in singular optimal control of jump diffusions ⋮ The dividend problem with a finite horizon ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ Solving singular control from optimal switching ⋮ On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control^† ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ Mixed control problem under partial observation ⋮ Necessary conditions for optimal singular stochastic control problems ⋮ Optimal dividends with partial information and stopping of a degenerate reflecting diffusion ⋮ An optimal extraction problem with price impact ⋮ Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ⋮ Connections between optimal stopping and singular stochastic control ⋮ A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs ⋮ An Optimal Dividend Problem with Capital Injections over a Finite Horizon ⋮ Mean-field games of finite-fuel capacity expansion with singular controls ⋮ A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries

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