On a Class of Infinite-Dimensional Singular Stochastic Control Problems
DOI10.1137/20M136757XzbMath1467.93328arXiv1904.11450OpenAlexW3156276892MaRDI QIDQ4990321
Frank Riedel, Giorgio Ferrari, Salvatore Federico, Michael Roeckner
Publication date: 28 May 2021
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.11450
semigroup theoryirreversible investmentfirst-order conditionsvector-valued integrationBank-El Karoui's representation theoreminfinite-dimensional singular stochastic control
Multivariable systems, multidimensional control systems (93C35) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20) Infinite-dimensional random dynamical systems; stochastic equations (37L55) Actuarial science and mathematical finance (91G99)
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