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Singular ergodic control for multidimensional Gaussian processes
16 references·2 citing·33 second hop
Singular ergodic control for multidimensional Gaussian processes (1992)Singular ergodic control for multidimensi…A class of singular stochastic control problems (2006)A class of singular stochasti…Un Cours sur les Intégrales Stochastiques (2002)Un Cours sur les Intégrales S…Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem (1989)Regularity of the Value Funct…Stochastic differential equations for multi-dimensional domain with reflecting boundary (1987)Stochastic differential equat…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…Stochastic Differential Equations and Diffusion Processes (1983)Stochastic Differential Equat…Long-term average cost control problems for continuous time Markov processes: A survey (1983)Long-term average cost contro…Introduction to Stochastic Integration (1983)Introduction to Stochastic In…A class of singular stochastic control problems (1983)A class of singular stochasti…The monotone follower problem in stochastic decision theory (1981)The monotone follower problem…Stochastic Differential Equations and Diffusion Processes (1981)Stochastic Differential Equat…Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model (1978)Optimality Conditions for the…Asymptotic lower bounds for optimal tracking: A linear programming approach (2017)Asymptotic lower bounds for o…Infinite-Dimensional Linear Programming Approach to SingularStochastic Control (1997)Infinite-Dimensional Linear P…On the uniqueness of solutions of stochastic differential equations (1971)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)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)Some solvable stochastic control problemst† (1980)Irreversible investment and industry equilibrium (1996)Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem (2008)Stochastic differential equations with reflecting boundary condition in convex regions (1979)White noise driven SPDEs with reflection (1993)Euler scheme for reflected stochastic differential equations (1995)Problàme de Skorohod multivoque (1998)Stochastic Differential Equations and Applications (1976)Controlled Diffusion Processes (1980)Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems (2001)Multiple Wiener Integral (1951)A strong law of large numbers for local martingales (1980)Instantaneous Control of Brownian Motion (1983)Functional Itô calculus and stochastic integral representation of martingales (2013)Stochastic Differential Equations (1972)Pricing foreign currency options under stochastic interest rates (1991)Stochastic analysis, rough path analysis and fractional Brownian motions (2002)Non‐parametric Threshold Estimation for Models with Stochastic Diffusion Coefficient and Jumps (2009)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)The Interaction Between Time-Nonseparable Preferences and Time Aggregation (1993)Stochastic integration in UMD Banach spaces (2007)Bond Pricing and the Term Structure of Interest Rates: A New Methodology for Contingent Claims Valuation (1992)Backward Stochastic Differential Equations in Finance (1997)Controlled Markov Processes and Viscosity Solutions (2005)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)
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References

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  • 1984Stochastic differential equations with reflecting boundary conditions817 cited
  • 1981Stochastic Differential Equations and Diffusion Processes597 cited
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  • 2002Un Cours sur les Intégrales Stochastiques421 cited
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  • 1989Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem118 cited
  • 1978Optimality Conditions for the Average Cost per Unit Time Problem with a Diffusion Model88 cited
  • 1981The monotone follower problem in stochastic decision theory

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74 cited
  • 1983Long-term average cost control problems for continuous time Markov processes: A survey73 cited
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    • 2017Asymptotic lower bounds for optimal tracking: A linear programming approach25 cited
    • 1997Infinite-Dimensional Linear Programming Approach to SingularStochastic Control25 cited