A pair of explicitly solvable singular stochastic control problems

Applied Mathematics and Optimization

Volumn 38, Issue 3, 1998, Pages 327-352

  Davis, M H A ^a   Zervos, M ^b  

^a IMPERIAL COLLEGE LONDON   (United Kingdom)

^b NEWCASTLE UNIVERSITY   (United Kingdom)

Author keywords

Confluent hypergeometric function; Local times; Modified Bessel functions; Singular stochastic control; Variational inequality

Indexed keywords

CONTROL; FUNCTION EVALUATION; MATHEMATICAL MODELS; RANDOM PROCESSES; THEOREM PROVING;

SINGULAR CONTROL;

STOCHASTIC CONTROL SYSTEMS;

EID: 0032210101     PISSN: 00954616     EISSN: None     Source Type: Journal    
DOI: 10.1007/s002459900094     Document Type: Article

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