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)

Review text

This paper deals with the monotone follower problem for a one-dimensional singular diffusion process, under weaker assumptions than previous ones. The author showed the following results, in the cheap control problem setting. (1) The value function is continuous. (2) Two kind of approximate problems (Lipschitz continuous control and finite-fuel constraint) are studied. (3) The value function satisfies the Hamilton-Jacobi-Bellman equation in the viscosity sense; it is a variational inequality.

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Cited in

(19)

• 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
• Variational inequalities and smooth-fit principle for singular stochastic control problems in Hilbert spaces
• Towards an example of a nonconvex monotone follower control problem

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