The stochastic maximum principle for a singular control problem

DOI10.1080/17442509408833921MaRDI QIDQ4849475zbMATH OpenOpenAlexFDO

Authors Abel Cadenillas, Ulrich G. Haussmann

Publication date 25 September 1995

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

Full work available at URL https://doi.org/10.1080/17442509408833921

zbMATH Keywords

convex coststochastic maximum principlestochastic singular control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimal stochastic control (93E20)

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