A class of solvable singular stochastic control problems
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Publication:4700350
DOI10.1080/17442509908834204zbMath0931.93076OpenAlexW1968586797MaRDI QIDQ4700350
Publication date: 5 December 1999
Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442509908834204
Related Items (20)
On necessary and sufficient conditions for near-optimal singular stochastic controls ⋮ On a class of singular stochastic control problems for reflected diffusions ⋮ Towards an example of a nonconvex monotone follower control problem ⋮ Game of Singular Stochastic Control and Strategic Exit ⋮ Optimal entry to an irreversible investment plan with non convex costs ⋮ On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach ⋮ Singular stochastic control in the presence of a state-dependent yield structure ⋮ Stochastic near-optimal singular controls for jump diffusions: necessary and sufficient conditions ⋮ On the properties of \(r\)-excessive mappings for a class of diffusions ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ A singular control model with application to the goodwill problem ⋮ A Knightian irreversible investment problem ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ On near-optimal mean-field stochastic singular controls: necessary and sufficient conditions for near-optimality ⋮ Bounded Variation Control of Itô Diffusions with Exogenously Restricted Intervention Times ⋮ A mean-field necessary and sufficient conditions for optimal singular stochastic control ⋮ Ergodic control of diffusions with random intervention times ⋮ HJB Equations with Gradient Constraint Associated with Controlled Jump-Diffusion Processes ⋮ Optimal Control of Brownian Inventory Models with Convex Holding Cost: Average Cost Case ⋮ A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
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