Singular control problems in bounded intervals

DOI10.1080/17442508708833462zbMath0628.49017MaRDI QIDQ3764785

Min Sun

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833462

zbMATH Keywords

variational inequalities; dynamic programming; value functions; discounted cost; one-dimensional diffusion processes; singular control problems; bounded intervals; long term average cost; time average cost

Mathematics Subject Classification ID

49J40: Variational inequalities

49L20: Dynamic programming in optimal control and differential games

93E20: Optimal stochastic control

60J60: Diffusion processes

49K45: Optimality conditions for problems involving randomness

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