Characterization of the Optimal Policy for a Multidimensional Parabolic Singular Stochastic Control Problem
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Publication:2813315
DOI10.1137/15M1051889zbMath1342.93120MaRDI QIDQ2813315
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
optimal control; Brownian motion; Skorokhod problem; singular stochastic control; time-dependent boundary
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
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