On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control†
Author:
Affiliation:
1. a UFR Sciences, UTV , BP 132, 83957 , La Garde cedex , France
2. b Laboratory of Applied Mathematics , University Mohamed Khider , P.O. Box 145, Biskra , 07000 , Algeria
Publisher
Informa UK Limited
Subject
Modelling and Simulation,Statistics and Probability
Link
https://www.tandfonline.com/doi/pdf/10.1080/17442508.2010.522238
Reference27 articles.
1. Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems
2. The stochastic maximum principle in optimal control of singular diffusions with non linear coefficients
3. A General Stochastic Maximum Principle for Singular Control Problems
4. Irreversible investment and industry equilibrium
5. Sequential decisions in the control of a space-ship (finite fuel)
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