A pair of explicitly solvable singular stochastic control problems

DOI10.1007/S002459900094zbMath0928.93065OpenAlexW2001506475WikidataQ128090065 ScholiaQ128090065MaRDI QIDQ1273450

Mark H. A. Davis, Mihail Zervos

Publication date: 7 December 1998

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s002459900094

zbMATH Keywords

Hamilton-Jacobi-Bellman equationspecial functionsdiffusion processesvalue functionsinfinite time horizonsingular control problemverification theorems

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Applications of hypergeometric functions (33C90) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15)

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