A class of discounted models for singular diffusion control

DOI10.1007/BF02884937zbMath1072.93030MaRDI QIDQ1428907

Chuanlai Lu, Mingda Qin, Kun Hui Liu

Publication date: 18 May 2004

Published in: Chinese Science Bulletin (Search for Journal in Brave)

zbMATH Keywords

variational inequalitiesone-dimensional diffusion processsingular optimal controlexistence of an optimal control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (3)

Boundedness of a derived function of a solution of a class of diffusion variational equations ⋮ A new class of impulse stochastic control models with non-negative control quantity ⋮ The generalization of a class of impulse stochastic control models of a geometric Brownian motion

Cites Work

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• Some solvable stochastic control problemst^†
• On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems for Diffusions
• Infinite-Dimensional Linear Programming Approach to SingularStochastic Control
• A class of singular stochastic control problems

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