Convergent Numerical Scheme for Singular Stochastic Control with State Constraints in a Portfolio Selection Problem
DOI10.1137/050640515zbMath1138.93062MaRDI QIDQ5426919
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
free boundary problem; stochastic control; Hamilton-Jacobi-Bellman equations; portfolio selection; singular control; Skorohod problem
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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