Singular stochastic control for diffusions and sde with discontinuous

DOI10.1080/17442509408833876MaRDI QIDQ4840920zbMATH OpenOpenAlexWikidataFDO

Authors Jin Ma

Publication date 14 November 1995

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509408833876

zbMATH Keywords

Hamilton-Jacobi-Bellman equationstochastic differential equationsdynamic programming principlefinite-fuel singular stochastic control problem

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

Recommendations

• discontinuous reflection, and a class of singular stochastic control problems for diffusions
• Singular Optimal Stochastic Controls II: Dynamic programming
• Singular stochastic control of a singular diffusion process
• On singular stochastic control problems for diffusion with jumps
• On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems for Diffusions

Cited in

(5)

• Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection
• The stochastic maximum principle in singular optimal control with recursive utilities
• discontinuous reflection, and a class of singular stochastic control problems for diffusions
• Singular control of SPDEs with space-mean dynamics
• From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes

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