A pair of explicitly solvable singular stochastic control problems (Q1273450)

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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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