Optimal Policies forn-Dimensional Singular Stochastic Control Problems Part I: The Skorokhod Problem

DOI10.1137/S0363012998347535zbMath0990.93134MaRDI QIDQ4507426

Łukasz Kruk

Publication date: 18 October 2000

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

zbMATH Keywords

Skorokhod problemsingular stochastic controloptimal policy

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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