Singular stochastic control of a singular diffusion process

DOI10.1080/17442509708834127zbMath0891.93078OpenAlexW2010559108MaRDI QIDQ4368875

Maria B. Chiarolla

Publication date: 1997

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

Full work available at URL: https://doi.org/10.1080/17442509708834127

zbMATH Keywords

variational inequalityviscosity solutiondynamic programming principlecheap controlLipschitz controlfinite-fuel constraintsingular diffusion process

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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