Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem

DOI10.1137/050640515zbMath1138.93062OpenAlexW2141512970MaRDI QIDQ5426919

Kevin Ross, Amarjit Budhiraja

Publication date: 16 November 2007

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://digitalcommons.calpoly.edu/stat_fac/40

zbMATH Keywords

free boundary problemstochastic controlHamilton-Jacobi-Bellman equationsportfolio selectionsingular controlSkorohod problem

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Deterministic scheduling theory in operations research (90B35) Queues and service in operations research (90B22) Optimal stochastic control (93E20) Performance evaluation, queueing, and scheduling in the context of computer systems (68M20) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70)

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