An Analysis of Monotone Follower Problems for Diffusion Processes

DOI10.1287/moor.1070.0295zbMath1217.93179arXivmath/0701813OpenAlexW2131585284MaRDI QIDQ3168970

Erhan Bayraktar, Masahiko Egami

Publication date: 27 April 2011

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0701813

zbMATH Keywords

one-dimensional diffusionssingular stochastic controlmonotone follower problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60) Existence of optimal solutions to problems involving randomness (49J55)

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