A new class of singular stochastic control problems

Authors
Lasry, JM Lions, PL
Citation
Jm. Lasry et Pl. Lions, A new class of singular stochastic control problems, CR AC S I, 331(11), 2000, pp. 879-885
Citations number
8
Categorie Soggetti
Mathematics
Journal title
COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE
ISSN journal
07644442 → ACNP
Volume
331
Issue
11
Year of publication
2000
Pages
879 - 885
Database
ISI
SICI code
0764-4442(200012)331:11<879:ANCOSS>2.0.ZU;2-N
Abstract
We introduce a new class of singular stochastic control problems for which the dynamic programming approach reduces to the invariance of the value fun ction by a pow. We derive here a "reduced" equivalent problem allowing to s olve the initial problem. (C) 2000 Academie des sciences/Editions scientifi ques et medicales Elsevier SAS.