A singular stochastic control problem with direction switching cost

DOI10.1007/s00186-023-00839-8OpenAlexW4387311942MaRDI QIDQ6182685

Łukasz Kruk

Publication date: 25 January 2024

Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00186-023-00839-8

zbMATH Keywords

Brownian motionexplicit solutionHJB equationssingular stochastic controlstochastic switchingdirection switching cost

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20)

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