A class of singular stochastic control problems

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(78)

A note on two-sided stochastic control problems
A Wong-Zakai-type theorem for certain discontinuous semimartingales
Singular ergodic control for multidimensional Gaussian processes
Generalized solution in singular stochastic control: The nondegenerate problem
Diffusion approximation for \(GI/G/1\) controlled queues
Optimal correction problem of a multidimensional stochastic system
Optimal harvesting under stochastic fluctuations and critical depensation
Singular stochastic control in the presence of a state-dependent yield structure
A class of discounted models for singular diffusion control
Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
Connections between optimal stopping and singular stochastic control
Dynamic programming for multidimensional stochastic control problems
Boundedness of a derived function of a solution of a class of diffusion variational equations
On solvability of a two-sided singular control problem
Singular optimal controls for stochastic recursive systems under convex control constraint
Irreversible capital accumulation with economic impact
Nash equilibria in a class of Markov stopping games with total reward criterion
Optimal sustainable harvesting of populations in random environments
MFGs for partially reversible investment
On an ergodic two-sided singular control problem
Singular control of the drift of a Brownian system
A zero-sum game between a singular stochastic controller and a discretionary stopper
The generalization of a class of impulse stochastic control models of a geometric Brownian motion
Optimal stopping and free boundary characterizations for some Brownian control problems
Singular control of stochastic linear systems with recursive utility
Finite-Fuel Singular Control With Discretionary Stopping
Optimal dynamic procurement policies for a storable commodity with Lévy prices and convex holding costs
The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure
Game of Singular Stochastic Control and Strategic Exit
Optimal consumption in a Brownian model with absorption and finite time horizon
Absolutely continuous and singular stochastic control^†
A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations
Singular control problems in bounded intervals
Equivalent models for finite-fuel stochastic control
Expected supremum representation of the value of a singular stochastic control problem
Stochastic games for fuel follower problem: \(N\) versus mean field game
A class of solvable singular stochastic control problems
A free boundary problem related to singular stochastic control: the parabolic case
Singular stochastic control and optimal stopping
Existence of singular optimal control laws for stochastic differential equations
Ergodic control of diffusions with random intervention times
Optimal pricing barriers in a regulated market using reflected diffusion processes
A Class of Stochastic Games and Moving Free Boundary Problems
Optimal stochastic impulse control with random coefficients and execution delay
Game of variable contributions to the common good under uncertainty
A renewal theory approach to two-state switching problems with infinite values
Explicit formula for the optimal government debt ceiling
A Singular Stochastic Control Problem with Interconnected Dynamics
Technical Note—On the Optimality of Reflection Control
On optimal correction problems with partial information
Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
HJB equations with gradient constraint associated with controlled jump-diffusion processes
An optimal dividend problem with capital injections over a finite horizon
A nonconvex singular stochastic control problem and its related optimal stopping boundaries
Bounded variation control of Itô diffusions with exogenously restricted intervention times
Necessary conditions for optimal singular stochastic control problems
A new class of impulse stochastic control models with non-negative control quantity
Sequential entry and exit decisions with an ergodic performance criterion
Irreversible capital accumulation under interest rate uncertainty
Interbank lending with benchmark rates: Pareto optima for a class of singular control games
Optimal execution with multiplicative price impact and incomplete information on the return
From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes
A singular stochastic control problem with direction switching cost
On the long-run average cost minimization problem of the stochastic production-inventory models
On singular control of reflected diffusions
Data-driven rules for multidimensional reflection problems
Singular control of (reflected) Brownian motion: a computational method suitable for queueing applications
Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
A risk-sensitive ergodic singular stochastic control problem
Existence and asymptotic behavior of an optimal barrier for an optimal consumption problem in a Brownian model with absorption and finite time horizon
Singular control with state constraints on unbounded domain
Dynamic revenue management of a toll road project under transportation demand uncertainty
Optimal buffer size for a stochastic processing network in heavy traffic
Solving singular control from optimal switching
A singular control model with application to the goodwill problem
Optimal dividend payments in the stochastic Ramsey model
A singular control problem with an expected and a pathwise ergodic performance criterion

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