On a class of singular stochastic control problems

MaRDI QIDQ1070990zbMATH OpenFDO

Authors José-Luis Menaldi, M. Robin

Publication date 1983

Published in Southeast Asian Bulletin of Mathematics (Search for Journal in Brave)

zbMATH Keywords

dynamic programming equationimpulse controlquasivariational inequalitysingular stochastic controlvalue function

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Variational inequalities (49J40) Existence of optimal solutions to problems involving randomness (49J55) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20)

Recommendations

• On singular stochastic control problems for diffusion with jumps
• Une classe nouvelle de problèmes singuliers de contrôle stochastique
• Singular Stochastic Control Problems
• A class of solvable singular stochastic control problems
• Dynamic programming for multidimensional stochastic control problems

Cited in

(19)

• Singular stochastic control in the presence of a state-dependent yield structure
• Dynamic programming for multidimensional stochastic control problems
• On a class of singular stochastic control problems driven by Lévy noise
• A constrained non-linear regular-singular stochastic control problem, with applications.
• Singular control and impulse control: a common approach
• scientific article; zbMATH DE number 1642334 (Why is no real title available?)
• On singular stochastic control problems for diffusion with jumps
• scientific article; zbMATH DE number 5674950 (Why is no real title available?)
• scientific article; zbMATH DE number 123955 (Why is no real title available?)
• A singular stochastic control problem in an unbounded domain
• Singular stochastic control of a singular diffusion process
• Expected supremum representation of the value of a singular stochastic control problem
• On a Class of Path-Dependent Singular Stochastic Control Problems
• Une classe nouvelle de problèmes singuliers de contrôle stochastique
• Singular Optimal Stochastic Controls I: Existence
• Analysis of Hamilton-Jacobi-Bellman equations arising in stochastic singular control
• A Singular Stochastic Control Problem with Interconnected Dynamics
• Optimal singular stochastic control problem with pay-off and complementary functions
• Uniqueness results for boundary value problems arising from finite fuel and other singular and unbounded stochastic control problems

This page was built for publication: On a class of singular stochastic control problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1070990)