On singular control of reflected diffusions

DOI10.1214/24-ECP621MaRDI QIDQ6628941zbMATH OpenFDO

Authors Adam Lars Jonsson

Publication date 29 October 2024

Published in Electronic Communications in Probability (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1214/24-ECP621

zbMATH Keywords

band policiesreflected diffusionssingular stochastic controlsmooth fit

Mathematics Subject Classification ID

Existence theories for optimal control problems involving ordinary differential equations (49J15) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Stochastic models in economics (91B70) Optimal stochastic control (93E20)

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