Equivalent models for finite-fuel stochastic control
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Cites work
- A class of singular stochastic control problems
- Additive Control of Stochastic Linear Systems with Finite Horizon
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
- Gittins indices in the dynamic allocation problem for diffusion processes
- scientific article; zbMATH DE number 3233089 (Why is no real title available?)
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- Probabilistic aspects of finite-fuel stochastic control
- Reflexion discontinue et systèmes stochastiques
Cited in
(34)- Probabilistic aspects of finite-fuel, reflected follower problems
- An application of reflected diffusions to the problem of choosing between hydro and thermal power generation
- Convex duality for finite-fuel problems in singular stochastic control
- Optimal asset liquidation with multiplicative transient price impact
- Approximating diffusion reflections at elastic boundaries
- A transient stochastic simulation-optimization model for operational fuel planning in-theater
- Optimal entry to an irreversible investment plan with non convex costs
- Optimal liquidation under stochastic liquidity
- The dividend problem with a finite horizon
- Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
- Connections between optimal stopping and singular stochastic control
- Avoiding the origin: A finite-fuel stochastic control problem
- Singular optimal controls for stochastic recursive systems under convex control constraint
- Non-convex Hamilton-Jacobi equations with gradient constraints
- An optimal extraction problem with price impact
- Irreversible reinsurance: a singular control approach
- Finite-Fuel Singular Control With Discretionary Stopping
- Using fuel to control a process to a goal
- Sustainable management of fossil fuels: a dynamic stochastic optimization approach with jump-diffusion
- Regular finite fuel stochastic control problems with exit time
- scientific article; zbMATH DE number 3849114 (Why is no real title available?)
- Finite fuel Wiener-Poisson control
- Probabilistic aspects of finite-fuel stochastic control
- A bang-bang strategy for a finite fuel stochastic control problem
- Keeping a satellite aloft: two finite fuel stochastic control models
- Discrete parameter singular control problem with state dependent noise and non-smooth dynamics
- A Class of Solvable Stochastic Investment Problems Involving Singular Controls
- Convergence problems for an impulsively and singularly controlled system
- Optimal tracking of brownian motion
- Optimal installation of solar panels with price impact: a solvable singular stochastic control problem
- A nonconvex singular stochastic control problem and its related optimal stopping boundaries
- A FIRST‐ORDER BSPDE FOR SWING OPTION PRICING: CLASSICAL SOLUTIONS
- Necessary conditions for optimal singular stochastic control problems
- Solving singular control from optimal switching
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