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Optimal Policies for n -Dimensional Singular Stochastic Control Problems Part I: The Skorokhod Problem
16 references·0 citing·34 second hop
Optimal Policies for n -Dimensional Singular Stochastic Control Problems Part I: The Skorokhod Problem (2000)Optimal Policies for n -Dimensional Singu…A class of singular stochastic control problems (2006)A class of singular stochasti…Target Zones and Exchange Rate Dynamics (1991)Target Zones and Exchange Rat…Super contact and related optimality conditions (1991)Super contact and related opt…Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem (1989)Regularity of the Value Funct…Optimal correction problem of a multidimensional stochastic system (1989)Optimal correction problem of…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems (1985)Connections Between Optimal S…Additive Control of Stochastic Linear Systems with Finite Horizon (1985)Additive Control of Stochasti…Stochastic differential equations with reflecting boundary conditions (1984)Stochastic differential equat…Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems (1984)Connections between Optimal S…On Some Cheap Control Problems for Diffusion Processes (1983)On Some Cheap Control Problem…Impulse Control of Brownian Motion (1983)Impulse Control of Brownian M…The monotone follower problem in stochastic decision theory (1981)The monotone follower problem…Some solvable stochastic control problemst† (1980)Some solvable stochastic cont…Optimal control of a Brownian storage system (1978)Optimal control of a Brownian…On stochastic differential equations for multi-dimensional diffusion processes with boundary conditions (1971)On stochastic differential eq…On the uniqueness of solutions of stochastic differential equations (1971)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1983)On lipschitz continuity of the solution mapping to the skorokhod problem, with applications (1991)Optimal Investment and Consumption with Transaction Costs (1994)Stochastic Differential Equations (2014)On optimal stopping and free boundary problems (1976)Irreversible investment and industry equilibrium (1996)Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem (2008)Stochastic Differential Equations and Applications (1976)Controlled Diffusion Processes (1980)Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems (2001)Theory of Rational Option Pricing (1973)Evaluating Natural Resource Investments (1985)The effects of irreversibility and uncertainty on capital accumulation (1999)Optimal Consumption and Investment with Transaction Costs and Multiple Risky Assets (2004)Theory of rational option pricing (2005)A Liquidity-Based Theory of Closed-End Funds (2008)MATHEMATICAL METHODS IN THE SOCIAL SCIENCES, 1959 (1960)Probability Methods for Approximations in Stochastic Control and for Elliptic Equations (1977)Singular Optimal Stochastic Controls I: Existence (1995)Connections between optimal stopping and singular stochastic control (1998)Stochastic Differential Equations and Diffusion Processes (1981)Instantaneous Control of Brownian Motion (1983)Risk vs. profit potential: A model for corporate strategy (1996)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Optimum Pricing Policy under Stochastic Inflation (1983)Impulse Control Method and Exchange Rate (1993)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)No Single Currency Regime is Right for All Countries or At All Times (1999)Official Intervention in the Foreign Exchange Market: Is It Effective and, If So, How Does It Work? (2001)The Trilemma in History: Tradeoffs Among Exchange Rates, Monetary Policies, and Capital Mobility (2004)
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References

  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1991Target Zones and Exchange Rate Dynamics1,089 cited
  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 1991Super contact and related optimality conditions367 cited
  • 1980Some solvable stochastic control problemst†316 cited
  • 1983Impulse Control of Brownian Motion234 cited
  • 1984Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems226 cited
  • 2006A class of singular stochastic control problems145 cited
  • 1985Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems123 cited
  • 1985Additive Control of Stochastic Linear Systems with Finite Horizon119 cited
  • 1989Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem118 cited
  • 1978Optimal control of a Brownian storage system115 cited
  • 1981The monotone follower problem in stochastic decision theory74 cited
  • 1983On Some Cheap Control Problems for Diffusion Processes68 cited
  • 1971On stochastic differential equations for multi-dimensional diffusion processes with boundary conditions

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60 cited
  • 1989Optimal correction problem of a multidimensional stochastic system48 cited
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