Stochastic control problems with state reflections arising from relaxed benchmark tracking

DOI10.1287/MOOR.2023.0265MaRDI QIDQ6893700zbMATH OpenFDO

Authors Lijun Bo, Yi-Jie Huang, Xiang Yu

Publication date 26 November 2025

Published in Mathematics of Operations Research (Search for Journal in Brave)

zbMATH Keywords

Neumann boundary conditionsoptimal consumptionprobabilistic representationreflected diffusion processrelaxed benchmark tracking

Mathematics Subject Classification ID

Portfolio theory (91G10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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