A singular stochastic control problem with direction switching cost
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Publication:6182685
DOI10.1007/s00186-023-00839-8MaRDI QIDQ6182685
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
Brownian motion; explicit solution; HJB equations; singular stochastic control; stochastic switching; direction switching cost
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