A class of stationary models of singular stochastic control (Q1431134): Difference between revisions
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Latest revision as of 10:27, 30 July 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A class of stationary models of singular stochastic control |
scientific article |
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A class of stationary models of singular stochastic control (English)
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27 May 2004
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This paper is a natural continuation of the authors' study presented in their previous paper [J. Syst. Sci. Complex. 16, No. 4, 424--437 (2003; Zbl 1047.93051)], reviewed below. For the same model and cost function, the existence of an optimal control is established under weaker conditions. A comment: It would be useful to see a couple of examples of specific models when all the conditions are easily written down and/or verified and the cost function and optimal control found explicitly.
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stochastic differential equations
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singular control
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variational inequalities
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