On a Class of Path-Dependent Singular Stochastic Control Problems
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Publication:4684782
DOI10.1137/17M1114235zbMath1401.60111arXiv1701.08861OpenAlexW2951477884MaRDI QIDQ4684782
Romuald Elie, Dylan Possamaï, Ludovic Moreau
Publication date: 25 September 2018
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1701.08861
Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30)
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