Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem

DOI10.1137/050640515zbMath1138.93062MaRDI QIDQ5426919

Kevin Ross, Amarjit Budhiraja

Publication date: 16 November 2007

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

Full work available at URL: https://digitalcommons.calpoly.edu/stat_fac/40

zbMATH Keywords

free boundary problem; stochastic control; Hamilton-Jacobi-Bellman equations; portfolio selection; singular control; Skorohod problem

Mathematics Subject Classification ID

49L20: Dynamic programming in optimal control and differential games

90B35: Deterministic scheduling theory in operations research

90B22: Queues and service in operations research

93E20: Optimal stochastic control

68M20: Performance evaluation, queueing, and scheduling in the context of computer systems

60J70: Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.)

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