Singular control with state constraints on unbounded domain

DOI10.1214/009117906000000359zbMath1106.93054arXivmath/0501016OpenAlexW3101481446MaRDI QIDQ858986

Amarjit Budhiraja, Rami Atar

Publication date: 12 January 2007

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/math/0501016

zbMATH Keywords

Hamilton-Jacobi-Bellman equationSkorokhod problemviscosity solutionsstochastic networksBrownian control problems

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (13)

On singular control problems with state constraints and regime-switching: a viscosity solution approach ⋮ Optimal stopping and free boundary characterizations for some Brownian control problems ⋮ MFGs for partially reversible investment ⋮ A Class of Stochastic Games and Moving Free Boundary Problems ⋮ An asymptotic optimality result for the multiclass queue with finite buffers in heavy traffic ⋮ Controlled stochastic networks in heavy traffic: convergence of value functions ⋮ Dynamic programming principle for classical and singular stochastic control with discretionary stopping ⋮ Stochastic Games for Fuel Follower Problem: $N$ versus Mean Field Game ⋮ HJB equations for certain singularly controlled diffusions ⋮ A \(d\)-person differential game with state space constraints ⋮ Existence of optimal controls for singular control problems with state constraints ⋮ Workload-Dependent Dynamic Priority for the Multiclass Queue with Reneging ⋮ On Singular Control Problems, the Time-Stretching Method, and the Weak-M1 Topology

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