A singular stochastic control problem in an unbounded domain

DOI10.1080/03605309408821083zbMATH Open0807.60057OpenAlexW1991249807MaRDI QIDQ4313779FDOQ4313779

Authors:

Publication date: 29 November 1994

Published in: Communications in Partial Differential Equations (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03605309408821083

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zbMATH Keywords

comparison principlevariational inequalitydynamic programming principlesingular stochastic control probleminvestment-consumption model

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cites Work

• Optimal Control with State-Space Constraint I
• Title not available (Why is that?)
• Optimal investment and consumption with transaction costs
• Viscosity solutions of fully nonlinear second-order elliptic partial differential equations
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
• European Option Pricing with Transaction Costs
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness

Cited In (10)

• Optimal consumption for recursive preferences with local substitution -- the case of certainty
• Uniqueness results for boundary value problems arising from finite fuel and other singular and unbounded stochastic control problems
• Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
• Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations
• Title not available (Why is that?)
• Singular control with state constraints on unbounded domain
• A free boundary problem related to singular stochastic control: the parabolic case
• On the value function of weakly coercive problems in nonlinear stochastic control
• Title not available (Why is that?)
• Intrinsic difficulties in stochastic control of unstable convolution operators on Z

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