Singular stochastic control in the presence of a state-dependent yield structure

DOI10.1016/S0304-4149(99)00102-7zbMath1028.60082WikidataQ127109594 ScholiaQ127109594MaRDI QIDQ1411892

Luis H. R. Alvarez

Publication date: 3 November 2003

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

singular stochastic controlGreen kerneloptimal reflection

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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