The optimal control of the cheap monotone follower
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Publication:4849123
DOI10.1080/17442509408833913zbMath0829.93070MaRDI 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
variational inequality; free boundary; singular stochastic control; reflected diffusion; cheap- control; two-dimensional monotone follower problem
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