A Singular Control Problem with Discretionary Stopping for Geometric Brownian Motions

SIAM Journal on Control and Optimization ◽

10.1137/080734856 ◽

2010 ◽

Vol 48 (6) ◽

pp. 3781-3804 ◽

Author(s):

Hiroaki Morimoto

Keyword(s):

Control Problem ◽

Singular Control ◽

Brownian Motions ◽

Singular Control Problem ◽

Geometric Brownian Motions ◽

Discretionary Stopping

Download Full-text

Optimal Singular Control Problem in Infinite Horizon for Stochastic Processes with Regime-Switching

SIAM Journal on Control and Optimization ◽

10.1137/20m1348613 ◽

2021 ◽

Vol 59 (2) ◽

pp. 906-930

Author(s):

Qian Feng ◽

Jinghai Shao

Keyword(s):

Control Problem ◽

Stochastic Processes ◽

Regime Switching ◽

Infinite Horizon ◽

Singular Control ◽

Singular Control Problem

Download Full-text

An algorithm for the solution to an optimal singular control problem

10.1109/sap.1967.272982 ◽

1967 ◽

Author(s):

A. Koivuniemi ◽

W. Hamilton

Keyword(s):

Control Problem ◽

Singular Control ◽

Singular Control Problem

Download Full-text

The stochastic maximum principle for a singular control problem

Stochastics and Stochastics Reports ◽

10.1080/17442509408833921 ◽

1994 ◽

Vol 49 (3-4) ◽

pp. 211-237 ◽

Author(s):

Abel Cadenillas ◽

Ulrich G. Haussmann

Keyword(s):

Maximum Principle ◽

Control Problem ◽

Singular Control ◽

Stochastic Maximum Principle ◽

Singular Control Problem

Download Full-text

On optimal singular control problem for general Mckean-Vlasov differential equations: Necessary and sufficient optimality conditions

Optimal Control Applications and Methods ◽

10.1002/oca.2403 ◽

2018 ◽

Vol 39 (3) ◽

pp. 1202-1219 ◽

Author(s):

Mokhtar Hafayed ◽

Shahlar Meherrem ◽

Şaban Eren ◽

Deniz Hasan Guçoglu

Keyword(s):

Differential Equations ◽

Control Problem ◽

Optimality Conditions ◽

Singular Control ◽

Sufficient Optimality Conditions ◽

Singular Control Problem ◽

Necessary And Sufficient

Download Full-text

A solvable singular control problem driven by a jump diffusion process with applications

Stochastic Models ◽

10.1080/15326349.2015.1090881 ◽

2015 ◽

Vol 32 (1) ◽

pp. 136-159

Author(s):

Chen Pan ◽

Shuguang Zhang

Keyword(s):

Diffusion Process ◽

Control Problem ◽

Singular Control ◽

Jump Diffusion ◽

Singular Control Problem ◽

Jump Diffusion Process

Download Full-text

Error analysis of low-order filters and unduality between error equations of low-order filter and singular control problem

International Journal of Control ◽

10.1080/00207177608922139 ◽

1976 ◽

Vol 23 (1) ◽

pp. 67-79

Author(s):

MOTOYASU NAGATA ◽

YOSHIKAZU SAWARAGI

Keyword(s):

Error Analysis ◽

Control Problem ◽

Singular Control ◽

Order Filter ◽

Singular Control Problem ◽

Download Full-text

A Multidimensional Stochastic Singular Control Problem Via Dynkin Game and Dirichlet Form

SIAM Journal on Control and Optimization ◽

10.1137/130928807 ◽

2014 ◽

Vol 52 (6) ◽

pp. 3807-3832 ◽

Author(s):

Yipeng Yang

Keyword(s):

Control Problem ◽

Dirichlet Form ◽

Singular Control ◽

Singular Control Problem ◽

Download Full-text

Some singular control problem with long term average criterion

System Modelling and Optimization - Lecture Notes in Control and Information Sciences ◽

10.1007/bfb0008916 ◽

2005 ◽

pp. 424-432 ◽

Author(s):

J. L. Menaldi ◽

M. Robin

Keyword(s):

Control Problem ◽

Singular Control ◽

Singular Control Problem ◽

Average Criterion

Download Full-text

Study of Singular Control Problem by a Differential Form Theory-n-Dimensional Nonlinear Control System with n Controls Appearing Linearly

IFAC Proceedings Volumes ◽

10.1016/s1474-6670(17)61006-1 ◽

1984 ◽

Vol 17 (2) ◽

pp. 417-422

Author(s):

T. Takagi ◽

T. Katayama

Keyword(s):

Control System ◽

Nonlinear Control ◽

Control Problem ◽

Differential Form ◽

Singular Control ◽

Nonlinear Control System ◽

Singular Control Problem ◽

Download Full-text

The algebraic Riccati equation and the singular control problem

10.1109/cdc.1988.194768 ◽

2003 ◽

Author(s):

V. Jurdjevic

Keyword(s):

Control Problem ◽

Riccati Equation ◽

Singular Control ◽

Algebraic Riccati Equation ◽

Singular Control Problem

Download Full-text