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
Abstract: "It is desired to control a multi-dimensional Brownian motion by adding a (possibly singul...
A singular stochastic control problem with state constraints in two-dimensions is studied. We show t...
We study a stochastic optimal control problem for a two scale system driven by an infinite dimension...
Dianetti J, Ferrari G. Multidimensional singular control and related Skorokhod problem: Sufficient c...
Dianetti J, Ferrari G. Multidimensional Singular Control and Related Skorokhod Problem: Suficient Co...
We study a singular control problem where the state process is governed by an Ito stochastic differ...
Schuhmann P. On some Two-Dimensional Singular Stochastic Control Problems and their Free-Boundary An...
We establish the existence of an optimal control for a general class of singular control problems wi...
We consider a singular stochastic control problem with state constraints that arises in problems of ...
Federico S, Ferrari G, Riedel F, Röckner M. On a Class of Infinite-Dimensional Singular Stochastic C...
We consider a singular stochastic control problem with state constraints that arises in problems of ...
We establish the existence of an optimal control for a general class of singular control problems wi...
We study a class of infinite-dimensional singular stochastic control problems that might find applic...
We investigate, via the dynamic programming approach, a finite fuel nonlinear singular stochastic co...
We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dime...
Abstract: "It is desired to control a multi-dimensional Brownian motion by adding a (possibly singul...
A singular stochastic control problem with state constraints in two-dimensions is studied. We show t...
We study a stochastic optimal control problem for a two scale system driven by an infinite dimension...
Dianetti J, Ferrari G. Multidimensional singular control and related Skorokhod problem: Sufficient c...
Dianetti J, Ferrari G. Multidimensional Singular Control and Related Skorokhod Problem: Suficient Co...
We study a singular control problem where the state process is governed by an Ito stochastic differ...
Schuhmann P. On some Two-Dimensional Singular Stochastic Control Problems and their Free-Boundary An...
We establish the existence of an optimal control for a general class of singular control problems wi...
We consider a singular stochastic control problem with state constraints that arises in problems of ...
Federico S, Ferrari G, Riedel F, Röckner M. On a Class of Infinite-Dimensional Singular Stochastic C...
We consider a singular stochastic control problem with state constraints that arises in problems of ...
We establish the existence of an optimal control for a general class of singular control problems wi...
We study a class of infinite-dimensional singular stochastic control problems that might find applic...
We investigate, via the dynamic programming approach, a finite fuel nonlinear singular stochastic co...
We consider a stochastic system whose uncontrolled state dynamics are modelled by a general one-dime...
Abstract: "It is desired to control a multi-dimensional Brownian motion by adding a (possibly singul...
A singular stochastic control problem with state constraints in two-dimensions is studied. We show t...
We study a stochastic optimal control problem for a two scale system driven by an infinite dimension...