Singular control of the drift of a Brownian system
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Publication:2238968
DOI10.1007/s00245-021-09779-3zbMath1476.93157OpenAlexW3159474879MaRDI QIDQ2238968
Giorgio Ferrari, Salvatore Federico, Patrick Schuhmann
Publication date: 2 November 2021
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-021-09779-3
viscosity solutionBrownian motionordinary differential equationfree boundarysingular stochastic controlDynkin gamesmooth-fit
Brownian motion (60J65) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Games of timing (91A55)
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