Optimal Policies forn-Dimensional Singular Stochastic Control Problems. Part II: The Radially Symmetric Case. Ergodic Control
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Publication:4507471
DOI10.1137/S0363012998347547zbMath0990.93135MaRDI QIDQ4507471
Publication date: 18 October 2000
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
geometric measure theorysingular stochastic controlradial symmetryoptimal policydomain of reflectionnormally reflected Brownian motionsingular ergodic control problems
Variational problems in a geometric measure-theoretic setting (49Q20) Optimal stochastic control (93E20)
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On the solutions of the problem for a singular ergodic control ⋮ The Eigenvalue Problem of Singular Ergodic Control ⋮ An eigenvalue problem for a fully nonlinear elliptic equation with gradient constraint ⋮ A multidimensional singular stochastic control problem on a finite time horizon ⋮ Characterization of the Optimal Policy for a Multidimensional Parabolic Singular Stochastic Control Problem ⋮ Sequential entry and exit decisions with an ergodic performance criterion
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