The optimal control of the cheap monotone follower

DOI10.1080/17442509408833913zbMath0829.93070OpenAlexW1996733907MaRDI QIDQ4849123

Ulrich G. Haussmann, Maria B. Chiarolla

Publication date: 25 September 1995

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

Full work available at URL: https://doi.org/10.1080/17442509408833913

zbMATH Keywords

variational inequalityfree boundarysingular stochastic controlreflected diffusioncheap- controltwo-dimensional monotone follower problem

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Diffusion processes (60J60)

Related Items (2)

Irreversible capital accumulation with economic impact ⋮ Singular control of stochastic linear systems with recursive utility

Cites Work

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• Regularity of the free boundary in singular stochastic control
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Brownian motion in a wedge with oblique reflection
• Additive Control of Stochastic Linear Systems with Finite Horizon
• Stochastic differential equations with reflecting boundary conditions
• Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
• Portfolio Selection with Transaction Costs

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