A class of solvable singular stochastic control problems
From MaRDI portal
For three of the most relevant singular control problems of time homogeneous regular diffusions, optimal policies and value functions are derived by making use of ordinary nonlinear programming techniques. The principle of smooth fit is shown to be a first order necessary condition for optimality.
Recommendations
- A Class of Singular Control Problems and the Smooth Fit Principle
- Une classe nouvelle de problèmes singuliers de contrôle stochastique
- Singular stochastic control, linear diffusions, and optimal stopping: A class of solvable problems
- A pair of explicitly solvable singular stochastic control problems
- scientific article; zbMATH DE number 4158536
Cites work
- A class of singular stochastic control problems
- A Class of Solvable Stochastic Investment Problems Involving Singular Controls
- A simplified treatment of the theory of optimal regulation of Brownian motion
- Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
- Closed‐form derivation of an 8‐node hexahedral element stiffness matrix by the hybrid stress method
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
- Controlled Markov processes and viscosity solutions
- Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living
- Dynamic allocation problems in continuous time
- Firing Costs and Labour Demand: How Bad is Eurosclerosis?
- Firm behaviour under the threat of liquidation
- Functional Integration and Partial Differential Equations. (AM-109)
- Hiring and firing optimally in a large corporation
- scientific article; zbMATH DE number 3206627 (Why is no real title available?)
- scientific article; zbMATH DE number 3287297 (Why is no real title available?)
- Optimal Consumption and Portfolio Rules with Durability and Local Substitution
- Optimal harvesting from a population in a stochastic crowded environment
- Optimal harvesting of stochastically fluctuating populations
- Optimal Switching in an Economic Activity under Uncertainty
- Robustness of the Black and Scholes Formula
- Some solvable stochastic control problemst†
- Stochastic differential equations. An introduction with applications.
- Super contact and related optimality conditions
Cited in
(51)- On a class of singular stochastic control problems
- Generalized solution in singular stochastic control: The nondegenerate problem
- A pair of explicitly solvable singular stochastic control problems
- Singular stochastic control in the presence of a state-dependent yield structure
- On the properties of \(r\)-excessive mappings for a class of diffusions
- Unique solvability of a singular stochastic control model for population management
- Optimal entry to an irreversible investment plan with non convex costs
- Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
- On solvability of a two-sided singular control problem
- Singular optimal controls for stochastic recursive systems under convex control constraint
- A Knightian irreversible investment problem
- On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality
- A mean-field necessary and sufficient conditions for optimal singular stochastic control
- On a class of singular stochastic control problems driven by Lévy noise
- On necessary and sufficient conditions for near-optimal singular stochastic controls
- Solution to a class of stochastic LQ problems with bounded control
- Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions
- On a class of singular stochastic control problems for reflected diffusions
- Singular stochastic control, linear diffusions, and optimal stopping: A class of solvable problems
- A solvable singular control problem driven by a jump diffusion process with applications
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- scientific article; zbMATH DE number 4213895 (Why is no real title available?)
- scientific article; zbMATH DE number 5674950 (Why is no real title available?)
- Game of Singular Stochastic Control and Strategic Exit
- scientific article; zbMATH DE number 4158536 (Why is no real title available?)
- On singular stochastic control and optimal stopping of spectrally negative jump diffusions
- Singular Stochastic Control Problems Solved by a Sparse Simplex Method
- On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems for Diffusions
- scientific article; zbMATH DE number 123955 (Why is no real title available?)
- scientific article; zbMATH DE number 123963 (Why is no real title available?)
- A singular stochastic control problem in an unbounded domain
- Optimal Policies forn-Dimensional Singular Stochastic Control Problems Part I: The Skorokhod Problem
- Optimal Policies forn-Dimensional Singular Stochastic Control Problems. Part II: The Radially Symmetric Case. Ergodic Control
- scientific article; zbMATH DE number 1791675 (Why is no real title available?)
- Expected supremum representation of the value of a singular stochastic control problem
- Singular Stochastic Control Problems
- On a Class of Path-Dependent Singular Stochastic Control Problems
- Une classe nouvelle de problèmes singuliers de contrôle stochastique
- Singular Optimal Stochastic Controls II: Dynamic programming
- scientific article; zbMATH DE number 784231 (Why is no real title available?)
- Ergodic control of diffusions with random intervention times
- A Singular Stochastic Control Problem with Interconnected Dynamics
- Brownian inventory models with convex holding cost. I: Average-optimal controls
- HJB equations with gradient constraint associated with controlled jump-diffusion processes
- A nonconvex singular stochastic control problem and its related optimal stopping boundaries
- Bounded variation control of Itô diffusions with exogenously restricted intervention times
- Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
- On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach
- Towards an example of a nonconvex monotone follower control problem
- A singular control model with application to the goodwill problem
- A singular control problem with an expected and a pathwise ergodic performance criterion
This page was built for publication: A class of solvable singular stochastic control problems
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4700350)
