Generalized solution in singular stochastic control: The nondegenerate problem
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Cites work
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Cited in
(26)- Convex duality for finite-fuel problems in singular stochastic control
- Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
- Irreversible capital accumulation with economic impact
- An optimal extraction problem with price impact
- Optimal partially reversible investment with entry decision and general production function
- On a class of singular stochastic control problems for reflected diffusions
- Dynamic programming principle for classical and singular stochastic control with discretionary stopping
- Game of Singular Stochastic Control and Strategic Exit
- Investment strategies in the long run with proportional transaction costs and a HARA utility function
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- Expected supremum representation of the value of a singular stochastic control problem
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