Generalized solution in singular stochastic control: The nondegenerate problem
From MaRDI portal
Publication:1188287
DOI10.1007/BF01182322zbMath0767.93077OpenAlexW3121401950MaRDI QIDQ1188287
Publication date: 13 August 1992
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01182322
Related Items (20)
On the singular control of exchange rates ⋮ On a mixed singular/switching control problem with multiple regimes ⋮ On a class of singular stochastic control problems for reflected diffusions ⋮ Game of Singular Stochastic Control and Strategic Exit ⋮ Expected Supremum Representation of the Value of a Singular Stochastic Control Problem ⋮ A singular stochastic control problem with direction switching cost ⋮ Dynamic programming principle for classical and singular stochastic control with discretionary stopping ⋮ On the value function of weakly coercive problems in nonlinear stochastic control ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ A singular control model with application to the goodwill problem ⋮ Necessary conditions for optimal singular stochastic control problems ⋮ Optimal partially reversible investment with entry decision and general production function ⋮ Irreversible capital accumulation with economic impact ⋮ A singular control problem with an expected and a pathwise ergodic performance criterion ⋮ An optimal extraction problem with price impact ⋮ Investment strategies in the long run with proportional transaction costs and a HARA utility function ⋮ Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ⋮ HJB Equations with Gradient Constraint Associated with Controlled Jump-Diffusion Processes ⋮ Optimal Execution with Multiplicative Price Impact ⋮ Convex duality for finite-fuel problems in singular stochastic control
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- On singular stochastic control problems for diffusion with jumps
- Boundary regulatity and uniqueness for an elliptic equations with gradient constraint
- Additive Control of Stochastic Linear Systems with Finite Horizon
- Singular control problems in bounded intervals
- A second order elliptic equation with gradient constraint
- On the existence and unicity of solutions of stochastic integral equations
- Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
- An evolutionary monotone follower problem in [0, 1]
- A class of singular stochastic control problems
This page was built for publication: Generalized solution in singular stochastic control: The nondegenerate problem
