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A class of solvable singular stochastic control problems
16 references·10 citing·34 second hop
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References

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  • 1994Investment under Uncertainty9,016 cited
  • 2005Stochastic Integration and Differential Equations4,594 cited
  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 1983Stochastic Differential Equations and Diffusion Processes3,836 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1990Firing Costs and Labour Demand: How Bad is Eurosclerosis?1,374 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1990Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods518 cited
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  • 1998Robustness of the Black and Scholes Formula363 cited
  • 1980Some solvable stochastic control problemst†316 cited
  • 1984Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems226 cited
  • 1994Optimal Switching in an Economic Activity under Uncertainty198 cited

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  • 1995Dusenberry's Ratcheting of Consumption: Optimal Dynamic Consumption and Investment Given Intolerance for any Decline in Standard of Living187 cited
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