Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection
DOI10.1287/MOOR.2013.0602zbMATH Open1306.93078OpenAlexW2113733489MaRDI QIDQ5169710FDOQ5169710
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
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maximum principlesharvestingfinancial marketstochastic partial differential equations (SPDEs)reflected SPDEsbackward SPDEcomparison theorem for SPDEsoptimal stopping of SPDEssingular control of SPDEs
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)
Cited In (15)
- Controlled reflected SDEs and Neumann problem for backward SPDEs
- Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
- 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
- On a class of infinite-dimensional singular stochastic control problems
- On partially observed optimal singular control of McKean–Vlasov stochastic systems: Maximum principle approach
- On non-Markovian forward-backward SDEs and backward stochastic PDEs
- Maximum principle for an optimal control problem associated to a SPDE with nonlinear boundary conditions
- Maximum principle for quasi-linear reflected backward SPDEs
- SPDEs with space interactions and application to population modelling
- Maximum principle via Malliavin calculus for regular-singular stochastic differential games
- Reflected backward stochastic partial differential equations in a convex domain
- Necessary condition for optimal control of doubly stochastic systems
- Singular control of SPDEs with space-mean dynamics
- Optimal stopping under uncertainty in drift and jump intensity
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