Singular control problems in bounded intervals
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Cites work
- A class of singular stochastic control problems
- Additive Control of Stochastic Linear Systems with Finite Horizon
- An Ergodic Control Problem for Reflected Diffusion with Jump
- An optimal stopping time problem with time average cost in a bounded interval
- Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
- Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
- Elliptic Partial Differential Equations of Second Order
- scientific article; zbMATH DE number 3875117 (Why is no real title available?)
- scientific article; zbMATH DE number 4078444 (Why is no real title available?)
- scientific article; zbMATH DE number 3383329 (Why is no real title available?)
- On optimal correction problems with partial information
- On singular stochastic control problems for diffusion with jumps
- Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers
- The monotone follower problem in stochastic decision theory
- Über die Methode der a priori-Schranken
Cited in
(43)- An optimal stopping time problem with time average cost in a bounded interval
- Singular ergodic control for multidimensional Gaussian processes
- Generalized solution in singular stochastic control: The nondegenerate problem
- An application of reflected diffusions to the problem of choosing between hydro and thermal power generation
- The implicit general order complementarity problem, models and iterative methods
- A class of discounted models for singular diffusion control
- A SAA nonlinear regularization method for a stochastic extended vertical linear complementarity problem
- The generalized linear complementarity problem revisited
- Fuzzy approximation to an infeasible generalized linear complementarity problem
- Generalizations of \(\mathbf P_ 0\)- and \(\mathbf P\)-properties; extended vertical and horizontal linear complementarity problems
- A uniqueness theorem for the generalized-order linear complementary problem associated with M-matrices
- Irreversible capital accumulation with economic impact
- A note on asymptotics between singular and constrained control problems of one-dimensional diffusions
- A two-step parallel iteration method for large sparse horizontal linear complementarity problems
- Projected splitting methods for vertical linear complementarity problems
- A zero-sum game between a singular stochastic controller and a discretionary stopper
- Numerical solution of a long-term average control problem for singular stochastic processes
- On a class of singular stochastic control problems for reflected diffusions
- A two-step modulus-based matrix splitting iteration method for horizontal linear complementarity problems
- Iterative algorithms for solving undiscounted bellman equations
- scientific article; zbMATH DE number 3875117 (Why is no real title available?)
- Domain decomposition algorithms for solving hamilton-jacobi-bellman equations
- A Class of Solvable Stochastic Investment Problems Involving Singular Controls
- Singular stochastic control of a singular diffusion process
- A Bounded Variation Control Problem for Diffusion Processes
- Bounded variation control of Itô diffusions with exogenously restricted intervention times
- Monotonicity of Mangasarian's iterative algorithm for generalized linear complementarity problems
- A class of modulus-based matrix splitting methods for vertical linear complementarity problem
- A preconditioned general modulus-based matrix splitting iteration method for solving horizontal linear complementarity problems
- Global error bounds for the extended vertical LCP
- Generalized modulus-based matrix splitting algorithm with Anderson acceleration strategy for vertical linear complementarity problems
- Projected fixed point iterative method for large and sparse horizontal linear complementarity problem
- A two-step new modulus-based matrix splitting method for vertical linear complementarity problem
- New modulus-based matrix splitting method for the vertical nonlinear complementarity problem
- On the equivalence of projected iterative methods and modulus-based matrix splitting iterative methods for horizontal linear complementarity problems
- On the two-step modulus-based matrix splitting iteration method for horizontal linear complementarity problems
- An analysis of the unique solvability of the horizontal linear complementarity problem
- An inner-outer modulus-based method for solving horizontal linear complementarity problems
- Projected Jacobi method for vertical tensor complementarity problems
- Accelerated modulus-based synchronous multisplitting iteration method for horizontal linear complementarity problems
- A parallel iteration method based on two-stage multisplitting for solving horizontal linear complementarity problems
- A singular control model with application to the goodwill problem
- A singular control problem with an expected and a pathwise ergodic performance criterion
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