Absolutely continuous and singular stochastic control†

DOI10.1080/17442508608833384zbMath0564.93068MaRDI QIDQ3679089

John P. Lehoczky, Steven E. Shreve

Publication date: 1986

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508608833384

zbMATH Keywords

stochastic control; value function; singular control; asymptotically linear cost

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

60J65: Brownian motion

90C39: Dynamic programming

93E20: Optimal stochastic control

49K45: Optimality conditions for problems involving randomness

Related Items

A Class of Solvable Stochastic Investment Problems Involving Singular Controls, Convergence problems for an impulsively and singularly controlled system, Nearly Optimal Impulsive Controls for Reflected Wideband Width Process, Existence of singular optimal control laws for stochastic differential equations, Differential inequality approach for deterministic approximation in two person zero-sum stochastic differential games, An application of reflected diffusions to the problem of choosing between hydro and thermal power generation, Numerical methods for controlled and uncontrolled multiplexing and queueing systems, Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality, Convex integral functionals of regular processes, Dynamic programming for multidimensional stochastic control problems, Dual spaces of cadlag processes

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• The monotone follower problem in stochastic decision theory
• Optimal control of a Brownian storage system
• Impulse Control of Brownian Motion
• Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Probabilistic aspects of finite-fuel stochastic control
• Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
• A class of singular stochastic control problems
• On optimal correction problems with partial information