HJB equations for certain singularly controlled diffusions

DOI10.1214/07-AAP443zbMath1142.93037arXiv0711.0641MaRDI QIDQ2475039

Amarjit Budhiraja, Rami Atar, Ruth J. Williams

Publication date: 20 March 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0711.0641

zbMATH Keywords

Hamilton-Jacobi-Bellman equationsviscosity solutionsstochastic networkssingular control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (5)

On singular control problems with state constraints and regime-switching: a viscosity solution approach ⋮ Optimal Ergodic Harvesting under Ambiguity ⋮ An asymptotic optimality result for the multiclass queue with finite buffers in heavy traffic ⋮ On Viscosity Solution of HJB Equations with State Constraints and Reflection Control ⋮ Optimal portfolio and consumption selection with default risk

Cites Work

• Singular control with state constraints on unbounded domain
• Stochastic differential equations with reflecting boundary condition in convex regions
• A broader view of Brownian networks
• Workload reduction of a generalized Brownian network
• Optimal Control with State-Space Constraint I
• Stochastic differential equations with reflecting boundary conditions
• User’s guide to viscosity solutions of second order partial differential equations
• Real Analysis and Probability
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