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

diffusion processesHamilton-Jacobi-Bellman equationinfinite time horizonsingular control problemspecial functionsvalue functionsverification theorems

Mathematics Subject Classification ID

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

Review text

A singular control problem with infinite time horizon for diffusion processes is considered. Verification theorems are proved, assuming that the corresponding Hamilton-Jacobi-Bellman equation has a solution in the class \(C^2(\mathbb{R}^n)\) or Sobolev class \(W^{2,p}_{\text{loc}}(\mathbb{R}^1)\). As an application, two problems of linear quadratic type are explicitly solved, and the value functions are expressed in terms of special functions.

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