A Multidimensional Stochastic Singular Control Problem Via Dynkin Game and Dirichlet Form

DOI10.1137/130928807zbMath1311.93090arXiv1209.2639OpenAlexW2031237434MaRDI QIDQ5244640

Yipeng Yang

Publication date: 27 March 2015

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1209.2639

zbMATH Keywords

variational inequalityDirichlet formDynkin gameoptimal control policystochastic singular control problem

Mathematics Subject Classification ID

Variational inequalities (49J40) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic games, stochastic differential games (91A15) Existence of optimal solutions to problems involving randomness (49J55)

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