Analysis of Hamilton-Jacobi-Bellman equations arising in stochastic singular control

ESAIM - Control, Optimisation and Calculus of Variations

Volumn 19, Issue 1, 2013, Pages 112-128

  Hynd, Ryan ^a  

^a NEW YORK UNIVERSITY   (United States)

Author keywords

Free boundary problem; Gradient constraint; HJB equation; Penalty method; Singular control; Viscosity solutions

Indexed keywords

FREE-BOUNDARY PROBLEMS; GRADIENT CONSTRAINT; HJB EQUATIONS; PENALTY METHODS; SINGULAR CONTROL; VISCOSITY SOLUTIONS;

BOUNDARY VALUE PROBLEMS; CONTROL THEORY; DYNAMIC PROGRAMMING; PARTIAL DIFFERENTIAL EQUATIONS; STOCHASTIC SYSTEMS;

STOCHASTIC MODELS;

EID: 84873910670     PISSN: 12928119     EISSN: 12623377     Source Type: Journal    
DOI: 10.1051/cocv/2012001     Document Type: Article

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