Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection

DOI10.1287/MOOR.2013.0602MaRDI QIDQ5169710zbMATH OpenOpenAlexFDO

Authors Agnès Sulem, B. Øksendal, Tu-Sheng Zhang

Publication date 11 July 2014

Published in Mathematics of Operations Research (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10852/41721

zbMATH Keywords

maximum principlesharvestingfinancial marketstochastic partial differential equations (SPDEs)reflected SPDEsbackward SPDEcomparison theorem for SPDEsoptimal stopping of SPDEssingular control of SPDEs

Mathematics Subject Classification ID

Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cited in

(15)

• On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach
• Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
• Reflected backward stochastic partial differential equations in a convex domain
• Necessary condition for optimal control of doubly stochastic systems
• Weak solution for a class of fully nonlinear stochastic Hamilton-Jacobi-Bellman equations
• Reflected backward stochastic partial differential equations with jumps in a convex domain
• Singular control of SPDEs with space-mean dynamics
• On non-Markovian forward-backward SDEs and backward stochastic PDEs
• Optimal stopping under uncertainty in drift and jump intensity
• Controlled reflected SDEs and Neumann problem for backward SPDEs
• SPDEs with space interactions and application to population modelling
• Maximum principle for quasi-linear reflected backward SPDEs
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Maximum principle via Malliavin calculus for regular-singular stochastic differential games
• On a class of infinite-dimensional singular stochastic control problems

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