A multidimensional singular stochastic control problem on a finite time horizon

DOI10.1515/umcsmath-2015-0011zbMath1317.93268MaRDI QIDQ2517158

Marcin Boryc, Łukasz Kruk

Publication date: 17 August 2015

Published in: Annales Universitatis Mariae Curie-Skłodowska. Sectio A. Mathematica (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/2319586dfdd085dbfbaa37ce8d3ea51838ee2a33

zbMATH Keywords

optimal control; HJB equation; singular stochastic control; generalized derivative

Mathematics Subject Classification ID

93E20: Optimal stochastic control

60H15: Stochastic partial differential equations (aspects of stochastic analysis)

49J55: Existence of optimal solutions to problems involving randomness

35Q93: PDEs in connection with control and optimization

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Characterization of the Optimal Policy for a Multidimensional Parabolic Singular Stochastic Control Problem

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