Citation map · Study

SZodixStudyAcademic Library

Shelves Open access

Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated

Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem

9 references·16 citing·35 second hop

FromToDepth

this work references cited by second hop

References

1988Brownian Motion and Stochastic Calculus1,544 cited
1987Brownian Motion and Stochastic Flow Systems.1,091 cited
1984Stochastic differential equations with reflecting boundary conditions817 cited
1980Some solvable stochastic control problemst†316 cited
1983Instantaneous Control of Brownian Motion295 cited
1984Optimal Consumption for General Diffusions with Absorbing and Reflecting Barriers202 cited
2006A class of singular stochastic control problems145 cited
1983A class of singular stochastic control problems128 cited
1985Additive Control of Stochastic Linear Systems with Finite Horizon119 cited

Cited by

1995Singular Optimal Stochastic Controls I: Existence97 cited
2001Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility86 cited
2013Homogenization and Asymptotics for Small Transaction Costs75 cited
1998Connections between optimal stopping and singular stochastic control67 cited
1991Numerical Methods for Stochastic Singular Control Problems64 cited
2001Stationary Solutions and Forward Equations for Controlled and Singular Martingale Problems

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

62 cited

1991A free boundary problem related to singular stochastic control: the parabolic case53 cited

2015Homogenization and Asymptotics for Small Transaction Costs: The Multidimensional Case49 cited

1992Generalized solution in singular stochastic control: The nondegenerate problem44 cited

2015Optimal Execution with Multiplicative Price Impact40 cited

2012Homogenization and Asymptotics for Small Transaction Costs40 cited

1997Numerical analysis of a free-boundary singular control problem in financial economics39 cited

2018Portfolio selection with consumption ratcheting38 cited

2017Optimal liquidation under stochastic liquidity37 cited

2014Characterization of the Optimal Boundaries in Reversible Investment Problems36 cited

2005Bounded Variation Singular Stochastic Control and Dynkin Game34 cited