On singular stochastic control problems for diffusion with jumps

DOI10.1109/TAC.1984.1103433MaRDI QIDQ3218044zbMATH OpenFDO

Authors José-Luis Menaldi, M. Robin

Publication date 1984

Published in IEEE Transactions on Automatic Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/TAC.1984.1103433

zbMATH Keywords

diffusion processes with jumpsimpulse controlquasi-variational inequality

Mathematics Subject Classification ID

Variational inequalities (49J40) Optimality conditions for problems involving randomness (49K45) Dynamic programming in optimal control and differential games (49L20) Dynamic programming (90C39) Optimal stochastic control (93E20)

Recommendations

• On a class of singular stochastic control problems
• Applied stochastic control of jump diffusions.
• An Ergodic Control Problem for Reflected Diffusion with Jump
• Dynamic programming for multidimensional stochastic control problems
• scientific article; zbMATH DE number 3877054

Cited in

(30)

• On a class of singular stochastic control problems
• Variational approach of serial multilevel production/inventory systems
• Singular ergodic control for multidimensional Gaussian processes
• Generalized solution in singular stochastic control: The nondegenerate problem
• Optimal correction problem of a multidimensional stochastic system
• Dynamic programming for multidimensional stochastic control problems
• Optimal impulse control problems for degenerate diffusions with jumps
• Stochastic control problems for systems driven by normal martingales
• Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions
• Singular control and impulse control: a common approach
• Diffusive limit approximation of pure-jump optimal stochastic control problems
• On partial-information optimal singular control problem for mean-field stochastic differential equations driven by Teugels martingales measures
• A solvable singular control problem driven by a jump diffusion process with applications
• scientific article; zbMATH DE number 3877054 (Why is no real title available?)
• scientific article; zbMATH DE number 4141940 (Why is no real title available?)
• Combined optimal stopping and singular stochastic control
• On singular stochastic control and optimal stopping of spectrally negative jump diffusions
• A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations
• Singular control problems in bounded intervals
• An Ergodic Control Problem for Reflected Diffusion with Jump
• Optimal control and differential games with measures
• discontinuous reflection, and a class of singular stochastic control problems for diffusions
• Control improvement for jump-diffusion processes with applications to finance
• Nearly Optimal Impulsive Controls for Reflected Wideband Width Process
• Singular stochastic control for diffusions and sde with discontinuous
• Existence of singular optimal control laws for stochastic differential equations
• On a switching control problem with càdlàg costs
• Exact solutions to the homing problem for a Wiener process with jumps
• Singular ergodic control for multidimensional Gaussian–Poisson processes
• Applied stochastic control of jump diffusions.

This page was built for publication: On singular stochastic control problems for diffusion with jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q3218044)