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

DOI10.1137/15M1051889zbMath1342.93120OpenAlexW2416173939MaRDI QIDQ2813315

Marcin Boryc, Łukasz Kruk

Publication date: 23 June 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1051889

zbMATH Keywords

optimal controlBrownian motionSkorokhod problemsingular stochastic controltime-dependent boundary

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Sample path properties (60G17) Optimality conditions for problems involving randomness (49K45) Existence of optimal solutions to problems involving randomness (49J55)

Related Items (1)

Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls

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