On the nonsymmetric stationary models of singular stochastic control for diffusions

MaRDI QIDQ5487641zbMATH OpenFDO

Authors Mingda Qin, Chuanlai Lu, Kunhui Liu

Publication date 11 September 2006

zbMATH Keywords

stochastic differential equationsingular stochastic controlstationary modelvariational equation systemnonsymmetric stochastic control

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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(6)

• Average expected cost of nonsymmetric Richard model
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• A new class of impulse stochastic control models with non-negative control quantity
• A class of stationary models of singular stochastic control
• The generalization of a class of impulse stochastic control models of a geometric Brownian motion
• Singular stochastic control in the presence of a state-dependent yield structure

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