Singular Control with State Constraints on Unbounded Domain by Rami
نویسنده
چکیده
is to be minimized over control processes Y whose increments take values in a cone Y of Rp , keeping the state process X = x+B+GY in a cone X of Rk , k ≤ p. Here, x ∈ X, B is a Brownian motion with drift b and covariance , G is a fixed matrix, and Y ◦ is the Radon–Nikodym derivative dY/d|Y |. Let L=−(1/2)trace( D2)− b ·D where D denotes the gradient. Solutions to the corresponding dynamic programming PDE,
منابع مشابه
Singular Control with State Constraints on Unbounded Domain
is to be minimized over control processes Y whose increments take values in a cone Y of R, keeping the state process X = x + B + GY in a cone X of R, k ≤ p. Here, x ∈ X, B is a Brownian motion with drift b and covariance Σ, G is a fixed matrix, and Y ◦ is the Radon–Nikodym derivative dY/d|Y |. Let L = −(1/2)trace(ΣD) − b ·D where D denotes the gradient. Solutions to the corresponding dynamic pr...
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