Singular stochastic control of a singular diffusion process

DOI10.1080/17442509708834127MaRDI QIDQ4368875zbMATH OpenOpenAlexFDO

Authors Maria B. Chiarolla

Publication date 1997

Published in Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/17442509708834127

zbMATH Keywords

cheap controldynamic programming principlefinite-fuel constraintLipschitz controlsingular diffusion processvariational inequalityviscosity solution

Mathematics Subject Classification ID

Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Dynamic programming in optimal control and differential games (49L20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Optimal stochastic control (93E20)

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Cited in

(18)

• Probabilistic aspects of finite-fuel, reflected follower problems
• Singular ergodic control for multidimensional Gaussian processes
• A pair of explicitly solvable singular stochastic control problems
• Singular control of SPDEs with space-mean dynamics
• Dynamic programming principle for classical and singular stochastic control with discretionary stopping
• An analysis of monotone follower problems for diffusion processes
• scientific article; zbMATH DE number 3875117 (Why is no real title available?)
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Singular Perturbations in Ergodic Control of Diffusions
• Absolutely continuous and singular stochastic control^†
• scientific article; zbMATH DE number 3902533 (Why is no real title available?)
• Singular control problems in bounded intervals
• Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem
• An evolutionary monotone follower problem in [0, 1]
• Singular stochastic control for diffusions and sde with discontinuous
• The optimal control of the cheap monotone follower
• Singular ergodic control for multidimensional Gaussian–Poisson processes
• Towards an example of a nonconvex monotone follower control problem

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