A Bounded Variation Control Problem for Diffusion Processes

DOI10.1137/S0363012903436119zbMATH Open1085.93030MaRDI QIDQ5317136FDOQ5317136

Authors: Ananda Weerasinghe 

Publication date: 15 September 2005

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

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zbMATH Keywords

optimal stoppingstochastic optimal controldiffusions with reflectionslocal-time processes

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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• Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
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• Controlling the running maximum of a diffusion process and an application to queueing systems
• On an ergodic two-sided singular control problem
• Heavy traffic analysis of a simple closed-loop supply chain
• Bounded variation control of Itô diffusions with exogenously restricted intervention times
• Degenerate Variance Control of a One-Dimensional Diffusion
• Output tracking control of a diffusion process with boundary inputs
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• Singular control problems in bounded intervals

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