Stochastic control problems where small intervention costs have big effects
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Publication:1808702
DOI10.1007/s002459900130zbMath0938.93063OpenAlexW1974085046WikidataQ113187202 ScholiaQ113187202MaRDI QIDQ1808702
Publication date: 27 June 2000
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10852/42926
value functionimpulse controlsingular stochastic controlquasi-variational inequalitynonrobustness feature
Variational inequalities (49J40) Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35)
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