A singular stochastic control problem in an unbounded domain

DOI10.1080/03605309408821083MaRDI QIDQ4313779zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

comparison principlevariational inequalitydynamic programming principlesingular stochastic control probleminvestment-consumption model

Mathematics Subject Classification ID

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

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Cites work

• scientific article; zbMATH DE number 158461 (Why is no real title available?)
• European Option Pricing with Transaction Costs
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
• Optimal Control with State-Space Constraint I
• Optimal control of diffusion processes and hamilton–jacobi–bellman equations part 2 : viscosity solutions and uniqueness
• Optimal investment and consumption with transaction costs
• Viscosity solutions of fully nonlinear second-order elliptic partial differential equations

Cited in

(10)

• On the value function of weakly coercive problems in nonlinear stochastic control
• Singular control with state constraints on unbounded domain
• Optimal consumption for recursive preferences with local substitution -- the case of certainty
• Controlled stochastic differential equations under Poisson uncertainty and with unbounded utility
• Uniqueness results for boundary value problems arising from finite fuel and other singular and unbounded stochastic control problems
• A free boundary problem related to singular stochastic control: the parabolic case
• Intrinsic difficulties in stochastic control of unstable convolution operators on Z
• Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations
• scientific article; zbMATH DE number 6131607 (Why is no real title available?)
• scientific article; zbMATH DE number 1642337 (Why is no real title available?)

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