Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection

DOI10.1287/moor.2013.0602zbMath1306.93078OpenAlexW2113733489MaRDI QIDQ5169710

Agnès Sulem, Tu-Sheng Zhang, Bernt Øksendal

Publication date: 11 July 2014

Published in: Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10852/41721

zbMATH Keywords

maximum principlesharvestingfinancial marketstochastic partial differential equations (SPDEs)reflected SPDEsbackward SPDEcomparison theorem for SPDEsoptimal stopping of SPDEssingular control of SPDEs

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60)

Related Items (15)

Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations ⋮ Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I. ⋮ Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions ⋮ Maximum principle for quasi-linear reflected backward SPDEs ⋮ Maximum principle via Malliavin calculus for regular-singular stochastic differential games ⋮ SPDEs with space interactions and application to population modelling ⋮ On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach ⋮ Reflected backward stochastic partial differential equations in a convex domain ⋮ Necessary condition for optimal control of doubly stochastic systems ⋮ Singular control of SPDEs with space-mean dynamics ⋮ On non-Markovian forward-backward SDEs and backward stochastic PDEs ⋮ Controlled reflected SDEs and Neumann problem for backward SPDEs ⋮ Optimal Stopping Under Uncertainty in Drift and Jump Intensity ⋮ On a Class of Infinite-Dimensional Singular Stochastic Control Problems ⋮ Reflected backward stochastic partial differential equations with jumps in a convex domain

This page was built for publication: Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection