Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem

DOI10.1137/15M1044485zbMath1353.93117arXiv1505.02418OpenAlexW2963359659MaRDI QIDQ2957558

Gordan Žitković, Jiexian Li

Publication date: 26 January 2017

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

Full work available at URL: https://arxiv.org/abs/1505.02418

zbMATH Keywords

maximum principleoptimal stoppingsingular controloptimal stochastic controlMeyer-Zheng convergencemonotone-follower problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)

Related Items (3)

Extended Mean Field Games with Singular Controls ⋮ Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls ⋮ Nonzero-Sum Submodular Monotone-Follower Games: Existence and Approximation of Nash Equilibria

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