A multidimensional singular stochastic control problem on a finite time horizon

DOI10.1515/umcsmath-2015-0011zbMath1317.93268OpenAlexW4233367858MaRDI QIDQ2517158

Marcin Boryc, Łukasz Kruk

Publication date: 17 August 2015

Published in: Annales Universitatis Mariae Curie-Skłodowska. Sectio A. Mathematica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2319586dfdd085dbfbaa37ce8d3ea51838ee2a33

zbMATH Keywords

optimal controlHJB equationsingular stochastic controlgeneralized derivative

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) Existence of optimal solutions to problems involving randomness (49J55) PDEs in connection with control and optimization (35Q93)

Related Items (1)

Characterization of the Optimal Policy for a Multidimensional Parabolic Singular Stochastic Control Problem

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