Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem

DOI10.1137/0327047MaRDI QIDQ4204093zbMATH OpenOpenAlexWikidataFDO

Authors H. Mete Soner, Steven Shreve

Publication date 1989

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

Full work available at URL https://semanticscholar.org/paper/f87e2620bf9a4bddded1af48505f9108be5b54a4

zbMATH Keywords

Regularitytwo-dimensional singular stochastic control problemvariational inequality

Mathematics Subject Classification ID

Free boundary problems for PDEs (35R35) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)

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(59)

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