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A class of singular stochastic control problems
6 references·16 citing·35 second hop
A class of singular stochastic control problems (1983)A class of singular stochastic control pr…Some solvable stochastic control problemst† (1980)Some solvable stochastic cont…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesStochastic Differential Equations and Applications (1976)Stochastic Differential Equat…On optimal stopping and free boundary problems (1976)On optimal stopping and free …A Stopped Brownian Motion Formula (1975)A Stopped Brownian Motion For…Stochastic Differential Equations (1972)Stochastic Differential Equat…Agency, Firm Growth, and Managerial Turnover (2017)Agency, Firm Growth, and Mana…On the Optimal Stochastic Impulse Control of Linear Diffusions (2008)On the Optimal Stochastic Imp…Connections between Singular Control and Optimal Switching (2008)Connections between Singular …Stationary Solutions and Forward Equations for Controlled and Singular Martingale Problems (2001)Stationary Solutions and Forw…Singular stochastic control in the presence of a state-dependent yield structure (2000)Singular stochastic control i…Finite-Fuel Singular Control With Discretionary Stopping (2000)Finite-Fuel Singular Control …A class of solvable singular stochastic control problems (1999)A class of solvable singular …Connections between optimal stopping and singular stochastic control (1998)Connections between optimal s…Singular Optimal Stochastic Controls I: Existence (1995)Singular Optimal Stochastic C…Numerical Methods for Stochastic Singular Control Problems (1991)Numerical Methods for Stochas…A free boundary problem related to singular stochastic control: the parabolic case (1991)A free boundary problem relat…Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem (1989)Regularity of the Value Funct…Singular control problems in bounded intervals (1987)Singular control problems in …Equivalent models for finite-fuel stochastic control (1986)Equivalent models for finite-…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…Théorie de la spéculation (1900)CONTINUOUS INSPECTION SCHEMES (1954)The Random Character of Stock Market Prices (1968)Formulas for Stopped Diffusion Processes with Stopping Times Based on the Maximum (1977)A class of singular stochastic control problems (2006)On the drawdown of completely asymmetric Lévy processes (2012)Stochastic differential equations with reflecting boundary conditions (1984)Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochastic Calculus (1988)Dynamic Optimization of Long‐Term Growth Rate for a Portfolio with Transaction Costs and Logarithmic Utility (2001)Homogenization and Asymptotics for Small Transaction Costs (2013)MULTI-DIMENSIONAL DIFFUSION PROCESSES (1980)Stochastic Differential Equations and Diffusion Processes (1981)Controlled markov processes and viscosity solutions (1994)Singular Optimal Stochastic Controls II: Dynamic programming (1995)Singular Stochastic Control Problems (2004)The Relaxed Stochastic Maximum Principle in Singular Optimal Control of Diffusions (2007)MATHEMATICAL METHODS IN THE SOCIAL SCIENCES, 1959 (1960)Probability Methods for Approximations in Stochastic Control and for Elliptic Equations (1977)Instantaneous Control of Brownian Motion (1983)Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems (2001)A Re-Examination of Traditional Hypotheses about the Term Structure of Interest Rates (1981)An Exact Bond Option Formula (1989)A pricing method for options based on average asset values (1990)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)Risk vs. profit potential: A model for corporate strategy (1996)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems (1984)Optimal Stopping, Free Boundary, and American Option in a Jump-Diffusion Model (1997)ON THE AMERICAN OPTION PROBLEM (2005)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)Rational Momentum Effects (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)
this work references cited by second hop

References

  • 1976Stochastic Differential Equations and Applications1,378 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 1972Stochastic Differential Equations977 cited
  • 1980Some solvable stochastic control problemst†316 cited
  • 1976On optimal stopping and free boundary problems251 cited
  • 1975A Stopped Brownian Motion Formula149 cited

Cited by

  • 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
  • 1995Singular Optimal Stochastic Controls I: Existence97 cited
  • 2008Connections between Singular Control and Optimal Switching73 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 Problems62 cited
  • 1986Equivalent models for finite-fuel stochastic control60 cited

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  • 2017Agency, Firm Growth, and Managerial Turnover57 cited
  • 1999A class of solvable singular stochastic control problems56 cited
  • 1987Singular control problems in bounded intervals56 cited
  • 2008On the Optimal Stochastic Impulse Control of Linear Diffusions54 cited
  • 2000Singular stochastic control in the presence of a state-dependent yield structure53 cited
  • 1991A free boundary problem related to singular stochastic control: the parabolic case53 cited
  • 2000Finite-Fuel Singular Control With Discretionary Stopping52 cited