scholarly journals On the existence of optimal controls for a singular stochastic control problem in finance

2001 ◽  
pp. 79-88 ◽  
Author(s):  
Fred E. Benth ◽  
Kenneth H. Karlsen ◽  
Kristin Reikvam
Keyword(s):  
Control Problem ◽  
Stochastic Control ◽  
Optimal Controls ◽  
Singular Stochastic Control ◽  
Existence Of Optimal Controls ◽  
Stochastic Control Problem

scholarly journals A Singular Stochastic Control Problem with Interconnected Dynamics

2020 ◽  
Vol 58 (5) ◽  
pp. 2821-2853
Author(s):  
Salvatore Federico ◽  
Giorgio Ferrari ◽  
Patrick Schuhmann
Keyword(s):  
Control Problem ◽  
Stochastic Control ◽  
Singular Stochastic Control ◽  
Stochastic Control Problem

scholarly journals A multidimensional singular stochastic control problem on a finite time horizon

2015 ◽  
Vol 69 (1) ◽  
Author(s):  
Marcin Boryc ◽  
Łukasz Kruk
Keyword(s):  
Control Problem ◽  
Stochastic Control ◽  
Finite Time ◽  
Time Horizon ◽  
Generalized Solution ◽  
Singular Stochastic Control ◽  
Stochastic Control Problem ◽  
Second Derivatives ◽  
Finite Time Horizon ◽  
The Value Function

AbstractA singular stochastic control problem in n dimensions with timedependent coefficients on a finite time horizon is considered. We show that the value function for this problem is a generalized solution of the corresponding HJB equation with locally bounded second derivatives with respect to the space variables and the first derivative with respect to time. Moreover, we prove that an optimal control exists and is unique

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