discontinuous reflection, and a class of singular stochastic control problems for diffusions

DOI10.1080/17442509308833850zbMath0791.60067OpenAlexW2078815390MaRDI QIDQ4286674

Jin Ma

Publication date: 7 July 1994

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442509308833850

zbMATH Keywords

stochastic differential equationscomparison theoremslocal timeexistence of the optimal controldiscontinuous reflected problemsfinite-fuel singular stochastic control problem for diffusions

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (6)

Equilibrium Model of Limit Order Books: A Mean-Field Game View ⋮ The stochastic maximum principle in singular optimal control with recursive utilities ⋮ On a class of singular stochastic control problems for reflected diffusions ⋮ Dynamic programming for multidimensional stochastic control problems ⋮ An Optimal Dividend Problem with Capital Injections over a Finite Horizon ⋮ Stochastic recursive optimal control problem with obstacle constraint involving diffusion type control

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