A singular stochastic control problem with direction switching cost

DOI10.1007/S00186-023-00839-8MaRDI QIDQ6182685zbMATH OpenOpenAlexFDO

Authors Łukasz Kruk

Publication date 25 January 2024

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00186-023-00839-8

zbMATH Keywords

Brownian motiondirection switching costexplicit solutionHJB equationssingular stochastic controlstochastic switching

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20)

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Cited in

(1)

• A mixed singular/switching control problem with terminal cost for modulated diffusion processes

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