Finite Fuel Problem in Nonlinear Singular Stochastic Control

DOI10.1137/050637236zbMath1251.49006OpenAlexW2069631603MaRDI QIDQ3516075

Caterina Sartori, Monica Motta

Publication date: 1 August 2008

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

Full work available at URL: https://doi.org/10.1137/050637236

zbMATH Keywords

viscosity solutionsrepresentation formulassingular stochastic control problemsdegenerate parabolic HJB equations

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence theories for optimal control problems involving partial differential equations (49J20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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Regular finite fuel stochastic control problems with exit time ⋮ From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes ⋮ On the value function of weakly coercive problems in nonlinear stochastic control ⋮ Normality and nondegeneracy of the maximum principle in optimal impulsive control under state constraints ⋮ Irreversible capital accumulation with economic impact ⋮ On a class of singular stochastic control problems driven by Lévy noise

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