An analysis of monotone follower problems for diffusion processes

Mathematics of Operations Research

Volumn 33, Issue 2, 2008, Pages 336-350

  Bayraktar, Erhan ^a   Egami, Masahiko ^b  

^a UNIVERSITY OF MICHIGAN   (United States)

^b KYOTO UNIVERSITY   (Japan)

Author keywords

Monotone follower problem; One dimensional diffusions; Singular stochastic control

Indexed keywords

BROWNIAN MOTION WITH DRIFTS; DIFFUSION PROCESS; DIVIDEND PAYMENTS; EXISTENCE AND UNIQUENESS; FIRST-ORDER DERIVATIVES; LINEAR FUNCTIONS; MONOTONE FOLLOWER PROBLEM; NECESSARY CONDITIONS OF OPTIMALITY; NON-LINEAR OPTIMIZATION PROBLEMS; ONE-DIMENSIONAL DIFFUSIONS; OPTIMAL BOUNDARIES; OPTIMAL CONTROLS; SINGULAR CONTROLS; SINGULAR STOCHASTIC CONTROL; SQUARE-ROOT PROCESS; STOCHASTIC CONTROLS; SUFFICIENT CONDITIONS; TIME STRATEGIES; VALUE FUNCTIONS;

BROWNIAN MOVEMENT; DIFFUSION; OPTIMIZATION; TRAJECTORIES;

STOCHASTIC CONTROL SYSTEMS;

EID: 61349128550     PISSN: 0364765X     EISSN: 15265471     Source Type: Journal    
DOI: 10.1287/moor.1070.0295     Document Type: Article

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