A multidimensional singular stochastic control problem on a finite time horizon

Marcin Boryc; Łukasz Kruk

Annales UMCS, Mathematica (2015)

  • Volume: 69, Issue: 1, page 23-57
  • ISSN: 2083-7402

Abstract

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A 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

How to cite

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Marcin Boryc, and Łukasz Kruk. "A multidimensional singular stochastic control problem on a finite time horizon." Annales UMCS, Mathematica 69.1 (2015): 23-57. <http://eudml.org/doc/271016>.

@article{MarcinBoryc2015,
abstract = {A 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},
author = {Marcin Boryc, Łukasz Kruk},
journal = {Annales UMCS, Mathematica},
keywords = {Singular stochastic control; generalized derivative; HJB equation; optimal control; singular stochastic control},
language = {eng},
number = {1},
pages = {23-57},
title = {A multidimensional singular stochastic control problem on a finite time horizon},
url = {http://eudml.org/doc/271016},
volume = {69},
year = {2015},
}

TY - JOUR
AU - Marcin Boryc
AU - Łukasz Kruk
TI - A multidimensional singular stochastic control problem on a finite time horizon
JO - Annales UMCS, Mathematica
PY - 2015
VL - 69
IS - 1
SP - 23
EP - 57
AB - A 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
LA - eng
KW - Singular stochastic control; generalized derivative; HJB equation; optimal control; singular stochastic control
UR - http://eudml.org/doc/271016
ER -

References

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