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

DOI10.1137/15M1051889zbMath1342.93120MaRDI QIDQ2813315

Marcin Boryc, Łukasz Kruk

Publication date: 23 June 2016

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/15m1051889

zbMATH Keywords

optimal control; Brownian motion; Skorokhod problem; singular stochastic control; time-dependent boundary

Mathematics Subject Classification ID

60J65: Brownian motion

93E20: Optimal stochastic control

60G17: Sample path properties

49K45: Optimality conditions for problems involving randomness

49J55: Existence of optimal solutions to problems involving randomness

Related Items

Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls

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