On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems for Diffusions

DOI10.1137/0330053zbMath0759.93081OpenAlexW1966335473MaRDI QIDQ4012463

Jin Ma

Publication date: 27 September 1992

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

Full work available at URL: https://doi.org/10.1137/0330053

zbMATH Keywords

variational inequalitiesdiffusion processessingular stochastic controlstochastic optimization problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Existence theories for optimal control problems involving ordinary differential equations (49J15) Existence of optimal solutions to problems involving randomness (49J55)

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