A pair of explicitly solvable singular stochastic control problems

DOI10.1007/S002459900094MaRDI QIDQ1273450zbMATH OpenOpenAlexWikidataFDO

Authors Mark H. A. Davis, Mihail Zervos

Publication date 7 December 1998

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s002459900094

zbMATH Keywords

Hamilton-Jacobi-Bellman equationdiffusion processesinfinite time horizonspecial functionsvalue functionssingular control problemverification theorems

Mathematics Subject Classification ID

Bessel and Airy functions, cylinder functions, ({}_0F_1) (33C10) Optimal stochastic control (93E20) Confluent hypergeometric functions, Whittaker functions, ({}_1F_1) (33C15) Applications of hypergeometric functions (33C90)

Recommendations

• A class of solvable singular stochastic control problems
• A multidimensional singular stochastic control problem on a finite time horizon
• On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems
• Singular stochastic control of a singular diffusion process

Cited in

(24)

• A singular control model with application to the goodwill problem
• A singular control problem with an expected and a pathwise ergodic performance criterion
• Optimal consumption and investment with welfare constraints
• Singular Stochastic Control Problems Solved by a Sparse Simplex Method
• The solution to a second order linear ordinary differential equation with a non-homogeneous term that is a measure
• Irreversible capital accumulation with economic impact
• scientific article; zbMATH DE number 5674950 (Why is no real title available?)
• On the solution structure of infinite-dimensional linear problems stemming from singular stochastic control problems
• Singular Optimal Stochastic Controls I: Existence
• On solvability of a two-sided singular control problem
• Expected supremum representation of the value of a singular stochastic control problem
• scientific article; zbMATH DE number 784231 (Why is no real title available?)
• Irreversible capital accumulation under interest rate uncertainty
• Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
• A singular stochastic control problem with direction switching cost
• A solvable singular control problem driven by a jump diffusion process with applications
• Characterization of the optimal policy for a multidimensional parabolic singular stochastic control problem
• Game of Singular Stochastic Control and Strategic Exit
• Data-driven rules for multidimensional reflection problems
• Optimal asset liquidation with multiplicative transient price impact
• HJB equations with gradient constraint associated with controlled jump-diffusion processes
• scientific article; zbMATH DE number 1791675 (Why is no real title available?)
• On a mixed singular/switching control problem with multiple regimes
• Generalized solution in singular stochastic control: The nondegenerate problem

This page was built for publication: A pair of explicitly solvable singular stochastic control problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1273450)