A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs
DOI10.1287/moor.2018.0934zbMath1443.91215arXiv1411.2428OpenAlexW3122522868WikidataQ61833292 ScholiaQ61833292MaRDI QIDQ5219728
Tiziano De Angelis, Giorgio Ferrari, John Moriarty
Publication date: 12 March 2020
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1411.2428
Hamilton-Jacobi-Bellman equationoptimal stoppingfree boundaryelectricity marketirreversible investmentfinite-fuel singular stochastic control
Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)
Related Items (4)
Cites Work
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