Characterization of the Optimal Policy for a Multidimensional Parabolic Singular Stochastic Control Problem (Q2813315)

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Characterization of the Optimal Policy for a Multidimensional Parabolic Singular Stochastic Control Problem
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    Statements

    title
    Characterization of the Optimal Policy for a Multidimensional Parabolic Singular Stochastic Control Problem (English)
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    author
    Marcin Boryc
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    Łukasz Kruk
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    publication date
    23 June 2016
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    zbMATH Keywords
    singular stochastic control
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    Brownian motion
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    optimal control
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    Skorokhod problem
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    time-dependent boundary
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    cites work
    Q5658888
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    Q4399897
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    Q5520962
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    Q4039796
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    Q5562267
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    Q2879485
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    Identifiers

    DOI
    10.1137/15M1051889
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    Mathematics Subject Classification ID
    93E20
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    49J55
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    49K45
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    60J65
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    60G17
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    zbMATH DE Number
    6597393
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    OpenAlex ID
    W2416173939
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