A solvable singular control problem driven by a jump diffusion process with applications
DOI10.1080/15326349.2015.1090881zbMath1344.49030OpenAlexW2293091867MaRDI QIDQ2803407
Publication date: 4 May 2016
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326349.2015.1090881
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Inventory, storage, reservoirs (90B05) 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) Existence of optimal solutions to problems involving randomness (49J55)
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