A Class of Singular Control Problems and the Smooth Fit Principle

DOI10.1137/070685336MaRDI QIDQ3648555zbMATH OpenOpenAlexFDO

Authors Xin Guo, Pascal Tomecek

Publication date 27 November 2009

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

Full work available at URL https://escholarship.org/uc/item/8w46j0td

zbMATH Keywords

reversible investmentsingular controlsmooth fitswitching control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Multivariate distribution of statistics (62H10) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Production theory, theory of the firm (91B38) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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Cited in

(17)

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• On solvability of a two-sided singular control problem
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• Optimal control of renewable resources based on the effective utilization rate
• Optimal dividends under a drawdown constraint and a curious square-root rule
• A model for the long-term optimal capacity level of an investment project
• On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems for Diffusions
• A Free Boundary Problem in R^d with Both Smooth and Nonsmooth Fit
• A class of solvable singular stochastic control problems
• scientific article; zbMATH DE number 784231 (Why is no real title available?)
• A solvable two-dimensional degenerate singular stochastic control problem with nonconvex costs
• Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
• Zero-sum stopper versus singular-controller games with constrained control directions
• On singular control of reflected diffusions
• Data-driven rules for multidimensional reflection problems
• Stopper vs. singular controller games with degenerate diffusions

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