On a class of singular stochastic control problems driven by Lévy noise

Stochastic Processes and their Applications ◽

10.1016/j.spa.2018.09.002 ◽

2019 ◽

Vol 129 (9) ◽

pp. 3174-3206

Author(s):

Beniamin Goldys ◽

Wei Wu

Keyword(s):

Stochastic Control ◽

Lévy Noise ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems ◽

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Dynamic programming principle for stochastic control problems driven by general Lévy noise

Stochastic Analysis and Applications ◽

10.1080/07362994.2016.1207189 ◽

2016 ◽

Vol 34 (6) ◽

pp. 1083-1093 ◽

Author(s):

Ben Goldys ◽

Wei Wu

Keyword(s):

Dynamic Programming ◽

Stochastic Control ◽

Dynamic Programming Principle ◽

Lévy Noise ◽

Control Problems ◽

Stochastic Control Problems ◽

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The Relation Between Generalized and Singular Stochastic Control Problems 1

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)35329-6 ◽

2001 ◽

Vol 34 (6) ◽

pp. 1095-1099

Author(s):

Dufour Francois ◽

Miller Boris

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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A Numerical Method for Solving Singular Stochastic Control Problems

Operations Research ◽

10.1287/opre.1030.0107 ◽

2004 ◽

Vol 52 (4) ◽

pp. 563-582 ◽

Author(s):

Sunil Kumar ◽

Kumar Muthuraman

Keyword(s):

Numerical Method ◽

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems for Diffusions

SIAM Journal on Control and Optimization ◽

10.1137/0330053 ◽

1992 ◽

Vol 30 (4) ◽

pp. 975-999 ◽

Author(s):

Jin Ma

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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A Pair of Explicitly Solvable Singular Stochastic Control Problems

Applied Mathematics & Optimization ◽

10.1007/s002459900094 ◽

1998 ◽

Vol 38 (3) ◽

pp. 327-352 ◽

Author(s):

M. H. A. Davis

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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Some Analytic Aspects of the Linear-Programming Approach to the Numerical Solution of Singular Stochastic Control Problems

IMA Journal of Mathematical Control and Information ◽

10.1093/imamci/6.1.21 ◽

1989 ◽

Vol 6 (1) ◽

pp. 21-26

Author(s):

MIN SUN

Keyword(s):

Linear Programming ◽

Numerical Solution ◽

Stochastic Control ◽

Programming Approach ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems ◽

Linear Programming Approach

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Singular Stochastic Control Problems Solved by a Sparse Simplex Method

IMA Journal of Mathematical Control and Information ◽

10.1093/imamci/6.1.27 ◽

1989 ◽

Vol 6 (1) ◽

pp. 27-38 ◽

Author(s):

MIN SUN

Keyword(s):

Stochastic Control ◽

Simplex Method ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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Optimal policies for some n-dimensional singular stochastic control problems

Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228) ◽

10.1109/cdc.2001.981059 ◽

2003 ◽

Author(s):

L. Kruk

Keyword(s):

Stochastic Control ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems ◽

Optimal Policies

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Optimal Policies forn-Dimensional Singular Stochastic Control Problems. Part II: The Radially Symmetric Case. Ergodic Control

SIAM Journal on Control and Optimization ◽

10.1137/s0363012998347547 ◽

2000 ◽

Vol 39 (2) ◽

pp. 635-659 ◽

Author(s):

Lukasz Kruk

Keyword(s):

Stochastic Control ◽

Symmetric Case ◽

Control Problems ◽

Singular Stochastic Control ◽

Ergodic Control ◽

Stochastic Control Problems ◽

Optimal Policies

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On a class of singular stochastic control problems arising in communications and their viscosity solutions

Proceedings of the 40th IEEE Conference on Decision and Control (Cat. No.01CH37228) ◽

10.1109/cdc.2001.981020 ◽

2003 ◽

Author(s):

Minyi Huang ◽

P.E. Caines

Keyword(s):

Stochastic Control ◽

Viscosity Solutions ◽

Control Problems ◽

Singular Stochastic Control ◽

Stochastic Control Problems

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