Absolutely continuous and singular stochastic control†

DOI10.1080/17442508608833384zbMath0564.93068OpenAlexW2069635517MaRDI QIDQ3679089

John P. Lehoczky, Steven E. Shreve

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833384

zbMATH Keywords

stochastic controlvalue functionsingular controlasymptotically linear cost

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Brownian motion (60J65) Dynamic programming (90C39) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (11)

Numerical methods for controlled and uncontrolled multiplexing and queueing systems ⋮ A Class of Solvable Stochastic Investment Problems Involving Singular Controls ⋮ Existence of singular optimal control laws for stochastic differential equations ⋮ Dual spaces of cadlag processes ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ Convex integral functionals of regular processes ⋮ Convergence problems for an impulsively and singularly controlled system ⋮ An application of reflected diffusions to the problem of choosing between hydro and thermal power generation ⋮ Differential inequality approach for deterministic approximation in two person zero-sum stochastic differential games ⋮ Nearly Optimal Impulsive Controls for Reflected Wideband Width Process ⋮ Dynamic programming for multidimensional stochastic control problems

Cites Work

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• Optimal control of a Brownian storage system
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• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Probabilistic aspects of finite-fuel stochastic control
• Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
• A class of singular stochastic control problems
• On optimal correction problems with partial information

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