Singular stochastic control for diffusions and sde with discontinuous

DOI10.1080/17442509408833876zbMath0826.60048OpenAlexW2084916293WikidataQ126242984 ScholiaQ126242984MaRDI QIDQ4840920

Jin Ma

Publication date: 14 November 1995

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

Full work available at URL: https://doi.org/10.1080/17442509408833876

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic differential equationsdynamic programming principlefinite-fuel singular stochastic control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Related Items (2)

The stochastic maximum principle in singular optimal control with recursive utilities ⋮ From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes

This page was built for publication: Singular stochastic control for diffusions and sde with discontinuous