Expected Supremum Representation of the Value of a Singular Stochastic Control Problem

DOI10.1137/15M1034957zbMath1386.93301arXiv1508.02854MaRDI QIDQ4599715

Pekka Matomäki, Luis H. R. Alvarez

Publication date: 4 January 2018

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

Full work available at URL: https://arxiv.org/abs/1508.02854

zbMATH Keywords

singular stochastic controllinear diffusionsrepresenting functionexpected supremum representation

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60)

Related Items (1)

On the singular control of exchange rates

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