Some solvable stochastic control problemst†

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Diffusion processes with boundary conditions
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Sequential decisions in the control of a space-ship (finite fuel)
The Optimal Policy for a Controlled Brownian Motion Process

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Finite-horizon optimal investment with transaction costs: a parabolic double obstacle problem
Optimality necessary conditions in singular stochastic control problems with nonsmooth data
A note on two-sided stochastic control problems
Probabilistic aspects of finite-fuel, reflected follower problems
Approximation of stochastic equations driven by predictable processes
Effect of a drift discontinuity on a travelling Gaussian
The monotone follower problem in stochastic decision theory
Asymptotic Wiener-Poisson control
Super contact and related optimality conditions
Diffusion approximation for \(GI/G/1\) controlled queues
An application of reflected diffusions to the problem of choosing between hydro and thermal power generation
Optimal correction problem of a multidimensional stochastic system
Applicable stochastic control: From theory to practice
Computational aspects in applied stochastic control
Risk vs. profit potential:
Singular stochastic control in the presence of a state-dependent yield structure
A class of discounted models for singular diffusion control
Numerical comparison of controls and verification of optimality for stochastic control problems
The stochastic maximum principle in singular optimal control with recursive utilities
A stochastic maximum principle for mixed regular-singular control problems via Malliavin calculus
The dividend problem with a finite horizon
Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality
Convex integral functionals of regular processes
Optimal stopping for Brownian motion with applications to sequential analysis and option pricing
A leavable bounded-velocity stochastic control problem.
The right time to sell a stock whose price is driven by Markovian noise
Connections between optimal stopping and singular stochastic control
Dynamic programming for multidimensional stochastic control problems
Avoiding the origin: A finite-fuel stochastic control problem
Curve following in illiquid markets
Singular optimal controls for stochastic recursive systems under convex control constraint
On the Euler-Maruyama scheme for SDEs with bounded variation and Hölder continuous coefficients
Irreversible capital accumulation with economic impact
Asymptotics of the hitting probability for a small sphere and a two dimensional Brownian motion with discontinuous anisotropic drift
Mean-field games of finite-fuel capacity expansion with singular controls
Learning about profitability and dynamic cash management
Explicit solutions for a class of nonlinear BSDEs and their nodal sets
AR(1) processes driven by second-chaos white noise: Berry-Esséen bounds for quadratic variation and parameter estimation
MFGs for partially reversible investment
Singular control of the drift of a Brownian system
Storage model with discontinuous holding cost
The generalization of a class of impulse stochastic control models of a geometric Brownian motion
Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
Optimal stopping and free boundary characterizations for some Brownian control problems
The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions
Singular control of stochastic linear systems with recursive utility
Strong rate of convergence for the Euler-Maruyama approximation of stochastic differential equations with irregular coefficients
A solvable singular control problem driven by a jump diffusion process with applications
Characterization of the optimal policy for a multidimensional parabolic singular stochastic control problem
The positive occupation time of Brownian motion with two-valued drift and asymptotic dynamics of sliding motion with noise
Using fuel to control a process to a goal
Regular finite fuel stochastic control problems with exit time
Liquidity management with decreasing returns to scale and secured credit line
Finite fuel Wiener-Poisson control
On a dual risk model perturbed by diffusion with dividend threshold
Stopping at the maximum of geometric Brownian motion when signals are received
Game of Singular Stochastic Control and Strategic Exit
Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case
Optimal consumption in a Brownian model with absorption and finite time horizon
Maximum principle for general controlled systems driven by fractional Brownian motions
Asymmetric Wiener Control
Observations-weighted minimum-variance control of linear and non-linear systems
A control problem with fuel constraint and Dawson-Watanabe superprocesses
A finite fuei stochastic control problem
A Class of Solvable Stochastic Investment Problems Involving Singular Controls
Optimal Investment and Consumption With Two Bonds and Transaction Costs¹
On consistent regularities of control and value functions
Expected supremum representation of the value of a singular stochastic control problem
Stochastic games for fuel follower problem: \(N\) versus mean field game
On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control
A class of solvable singular stochastic control problems
Transaction costs, trading volume, and the liquidity premium
A free boundary problem related to singular stochastic control: the parabolic case
Singular stochastic control and optimal stopping
Existence of singular optimal control laws for stochastic differential equations
A Class of Stochastic Games and Moving Free Boundary Problems
Optimal solution of the liquidation problem under execution and price impact risks
Nonzero-sum submodular monotone-follower games: existence and approximation of Nash equilibria
On optimal correction problems with partial information
A nonconvex singular stochastic control problem and its related optimal stopping boundaries
Stability problem for one-dimensional stochastic differential equations with discontinuous drift
The Eigenvalue Problem of Singular Ergodic Control
Corrected random walk approximations to free boundary problems in optimal stopping
A new class of impulse stochastic control models with non-negative control quantity
Optimal dividend strategies in the diffusion model with stochastic return on investments
A Method for Computing Double Band Policies for Switching between Two Diffusions
Drift rate control of a Brownian processing system
A solvable stochastic control problem in hyperbolic three space
Interbank lending with benchmark rates: Pareto optima for a class of singular control games
Optimal execution with multiplicative price impact and incomplete information on the return
The relaxed stochastic maximum principle in singular optimal control of jump diffusions
A singular stochastic control problem with direction switching cost
On singular control of reflected diffusions
A general framework to simulate diffusions with discontinuous coefficients and local times
A stochastic non-zero-sum game of controlling the debt-to-GDP ratio
Equilibria for time-inconsistent singular control problems
Singular control of (reflected) Brownian motion: a computational method suitable for queueing applications
On decomposition of the last passage time of diffusions
Convex integral functionals of càdlàg processes
De Finetti's problem with fixed transaction costs and regime switching

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