Dynamic programming principle for classical and singular stochastic control with discretionary stopping
DOI10.1007/s00245-023-09975-3OpenAlexW3212950099MaRDI QIDQ2701082
Alessandro Milazzo, Tiziano De Angelis
Publication date: 27 April 2023
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2111.09608
Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) General theory of stochastic processes (60G07) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimality conditions for problems involving randomness (49K45)
Related Items
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Quasi-sure stochastic analysis through aggregation
- Singular control with state constraints on unbounded domain
- The monotone follower problem in stochastic decision theory
- Generalized solution in singular stochastic control: The nondegenerate problem
- A problem of singular stochastic control with discretionary stopping
- Singular stochastic control in the presence of a state-dependent yield structure
- Dynamic programming for multidimensional stochastic control problems
- Dynamic programming for stochastic target problems and geometric flows
- Stochastic calculus. An introduction through theory and exercises
- The Yamada-Watanabe-Engelbert theorem for general stochastic equations and inequalities
- Martingale approach to stochastic control with discretionary stopping
- Finite-Fuel Singular Control With Discretionary Stopping
- A Pseudo-Markov Property for Controlled Diffusion Processes
- A Weak Dynamic Programming Principle for Combined Optimal Stopping/Stochastic Control with ${\cal E}^{f}$-expectations
- On the Multidimensional Controller-and-Stopper Games
- Stochastic Perron’s method and verification without smoothness using viscosity comparison: The linear case
- Stochastic Optimal Control in Infinite Dimension
- A Singular Control Problem with Discretionary Stopping for Geometric Brownian Motions
- Weak Dynamic Programming Principle for Viscosity Solutions
- A Problem of Singular Stochastic Control with Optimal Stopping in Finite Horizon
- Dynamic Programming for Controlled Markov Families: Abstractly and over Martingale Measures
- Stochastic Perron's Method and Elementary Strategies for Zero-Sum Differential Games
- Stochastic Control and Mathematical Modeling
- Probabilistic aspects of finite-fuel stochastic control
- User’s guide to viscosity solutions of second order partial differential equations
- On the existence and unicity of solutions of stochastic integral equations
- Foundations of Modern Probability
- Singular stochastic control of a singular diffusion process
- Utility Maximization with Discretionary Stopping
- Mixed Optimal Stopping and Stochastic Control Problems with Semicontinuous Final Reward for Diffusion Processes
- Singular Optimal Stochastic Controls I: Existence
- Singular Optimal Stochastic Controls II: Dynamic programming
- Optimization of the flow of dividends
- Weak Dynamic Programming for Generalized State Constraints
- Stochastic Perron's Method for Hamilton--Jacobi--Bellman Equations
- Asymptotic Perron's Method and Simple Markov Strategies in Stochastic Games and Control
This page was built for publication: Dynamic programming principle for classical and singular stochastic control with discretionary stopping
