We establish the existence of an optimal control for a general class of singular control problems with state constraints. The proof uses weak convergence arguments and a time rescaling technique. The existence of optimal controls for Brownian control problems, associated with a broad family of stochastic networks, follows as a consequence
AbstractWe consider an optimal control problem for an Itô diffusion and a related stopping problem. ...
De Angelis T, Ferrari G, Moriarty J. A Nonconvex Singular Stochastic Control Problem and its Related...
In this paper, we consider an optimal control problem for a state problem of a one dimensional Alle...
We establish the existence of an optimal control for a general class of singular control problems wi...
Singular control is an important and challenging class of problems in stochastic control theory. Suc...
A singular stochastic control problem with state constraints in two-dimensions is studied. We show t...
A singular stochastic control problem with state constraints in twodimensions is studied. We show th...
We study a singular control problem where the state process is governed by an Ito stochastic differ...
We study a class of stochastic control problems where a cost of the form E [0,∞) e −βs[l(Xs)ds +h(Y...
Abstract. In this paper, we study an optimal singular stochastic control problem. By using a time tr...
AbstractThe present paper studies the stochastic maximum principle in singular optimal control, wher...
Dianetti J, Ferrari G. Multidimensional singular control and related Skorokhod problem: Sufficient c...
In this paper we extend the work presented in our previous papers (2001) where we considered optimal...
Dianetti J, Ferrari G. Multidimensional Singular Control and Related Skorokhod Problem: Suficient Co...
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switchi...
AbstractWe consider an optimal control problem for an Itô diffusion and a related stopping problem. ...
De Angelis T, Ferrari G, Moriarty J. A Nonconvex Singular Stochastic Control Problem and its Related...
In this paper, we consider an optimal control problem for a state problem of a one dimensional Alle...
We establish the existence of an optimal control for a general class of singular control problems wi...
Singular control is an important and challenging class of problems in stochastic control theory. Suc...
A singular stochastic control problem with state constraints in two-dimensions is studied. We show t...
A singular stochastic control problem with state constraints in twodimensions is studied. We show th...
We study a singular control problem where the state process is governed by an Ito stochastic differ...
We study a class of stochastic control problems where a cost of the form E [0,∞) e −βs[l(Xs)ds +h(Y...
Abstract. In this paper, we study an optimal singular stochastic control problem. By using a time tr...
AbstractThe present paper studies the stochastic maximum principle in singular optimal control, wher...
Dianetti J, Ferrari G. Multidimensional singular control and related Skorokhod problem: Sufficient c...
In this paper we extend the work presented in our previous papers (2001) where we considered optimal...
Dianetti J, Ferrari G. Multidimensional Singular Control and Related Skorokhod Problem: Suficient Co...
This paper investigates a singular stochastic control problem for a multi-dimensional regime-switchi...
AbstractWe consider an optimal control problem for an Itô diffusion and a related stopping problem. ...
De Angelis T, Ferrari G, Moriarty J. A Nonconvex Singular Stochastic Control Problem and its Related...
In this paper, we consider an optimal control problem for a state problem of a one dimensional Alle...