Optimal policies for n-dimensional singular stochastic control problems. Part I: The Skorokhod problem

SIAM Journal on Control and Optimization

Volumn 38, Issue 5, 2000, Pages 1603-1622

  Kruk, Lukasz ^a,b  

^a NEW YORK UNIVERSITY   (United States)

^b CARNEGIE MELLON UNIVERSITY   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

BOUNDARY CONDITIONS; BROWNIAN MOVEMENT; CONTROL SYSTEM ANALYSIS; OPTIMAL CONTROL SYSTEMS; PROBABILITY; PROBLEM SOLVING;

OPTIMAL POLICY MINIMIZATION; SKOROKHOD PROBLEM;

STOCHASTIC CONTROL SYSTEMS;

EID: 0033677096     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012998347535     Document Type: Article

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