Dynamic programming for multidimensional stochastic control problems
In this paper we study a general multidimensional diffusion-type stochastic control problem. Our model contains the usual regular control problem, singular control problem and impulse control problem as special cases. Using a unified treatment of dynamic programming, we show that the value function...
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Published in | Acta mathematica Sinica. English series Vol. 15; no. 4; pp. 485 - 506 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
Heidelberg
Springer Nature B.V
01.10.1999
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Subjects | |
Online Access | Get full text |
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Summary: | In this paper we study a general multidimensional diffusion-type stochastic control problem. Our model contains the usual regular control problem, singular control problem and impulse control problem as special cases. Using a unified treatment of dynamic programming, we show that the value function of the problem is a viscosity solution of certain Hamilton-Jacobi-Bellman (HJB) quasivariational inequality. The uniqueness of such a quasi-variational inequality is proved. |
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Bibliography: | ObjectType-Article-2 SourceType-Scholarly Journals-1 ObjectType-Feature-1 content type line 23 |
ISSN: | 1439-8516 1439-7617 |
DOI: | 10.1007/s10114-999-0081-5 |