Towards an example of a nonconvex monotone follower control problem

DOI10.1007/s10958-009-9549-1zbMath1192.93129OpenAlexW2040097429MaRDI QIDQ844438

J. Luttamaguzi

Publication date: 19 January 2010

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-009-9549-1

zbMATH Keywords

Wiener processmonotone follower control problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

Cites Work

• Unnamed Item
• A decomposition of the Brownian path
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Some solvable stochastic control problemst^†
• Degenerate Variance Control of a One-Dimensional Diffusion
• A class of solvable singular stochastic control problems

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