This paper studies the monotone follower problem for a one-dimensional singular diffusion process. The dynamic programming principle is established. It is shown that the value function is continuous and satisfies the Hamilton-Jacobi-Bellman equation in the viscosity sense
Singular Stochastic Control of a Singular Diffusion Process
Maria B. Chiarolla
1997-01-01
Abstract
This paper studies the monotone follower problem for a one-dimensional singular diffusion process. The dynamic programming principle is established. It is shown that the value function is continuous and satisfies the Hamilton-Jacobi-Bellman equation in the viscosity senseFile in questo prodotto:
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