Singular control of the drift of a Brownian system

DOI10.1007/S00245-021-09779-3zbMath1476.93157OpenAlexW3159474879MaRDI QIDQ2238968

Giorgio Ferrari, Salvatore Federico, Patrick Schuhmann

Publication date: 2 November 2021

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-021-09779-3

zbMATH Keywords

viscosity solutionBrownian motionordinary differential equationfree boundarysingular stochastic controlDynkin gamesmooth-fit

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Games of timing (91A55)

Related Items (4)

Two-Sided Singular Control of an Inventory with Unknown Demand Trend ⋮ Data-driven rules for multidimensional reflection problems ⋮ Zero-sum stopper versus singular-controller games with constrained control directions ⋮ Stopper vs. singular controller games with degenerate diffusions

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Drift rate control of a Brownian processing system
• Optimal capital accumulation under price uncertainty and costly reversibility
• Inventory models with inventory-level-dependent demand: A comprehensive review and unifying theory
• Semiconcave functions, Hamilton-Jacobi equations, and optimal control
• The resolvent of a degenerate diffusion on the plane, with application to partially observed stochastic control
• A leavable bounded-velocity stochastic control problem.
• Controlling inflation: The infinite horizon case
• SDEs with oblique reflection on nonsmooth domains
• On the domain of the implicit function and applications
• On the optimal stopping problem for one-dimensional diffusions.
• A change-of-variable formula with local time on curves
• Characterization of the Optimal Boundaries in Reversible Investment Problems
• Instantaneous Control of Brownian Motion
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Bounded Variation Singular Stochastic Control and Dynkin Game
• Solving the drift control problem
• A Model for Reversible Investment Capacity Expansion
• Optimal Stopping Games and Nash Equilibrium
• Connections between Singular Control and Optimal Switching
• A Class of Singular Control Problems and the Smooth Fit Principle
• Average Optimal Singular Control and a Related Stopping Problem
• Additive Control of Stochastic Linear Systems with Finite Horizon
• Stochastic differential equations with reflecting boundary conditions
• Some solvable stochastic control problemst^†
• Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
• The finite–horizon version for a partially–observed stochastic control problem of benesš & rishel
• On Lipschitz Continuous Optimal Stopping Boundaries
• Monotone Control of a Damped Oscillator Under Random Perturbations
• A free boundary problem related to singular stochastic control: the parabolic case
• A class of singular stochastic control problems
• On viscosity solutions of fully nonlinear equations with measurable ingredients
• Optimal Installation of Solar Panels with Price Impact: A Solvable Singular Stochastic Control Problem
• A Singular Stochastic Control Problem with Interconnected Dynamics
• A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs
• A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries

This page was built for publication: Singular control of the drift of a Brownian system