A pair of explicitly solvable singular stochastic control problems (Q1273450)
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English | A pair of explicitly solvable singular stochastic control problems |
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A pair of explicitly solvable singular stochastic control problems (English)
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7 December 1998
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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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verification theorems
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singular control problem
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infinite time horizon
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diffusion processes
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Hamilton-Jacobi-Bellman equation
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value functions
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special functions
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