Dynamic programming for multidimensional stochastic control problems

被引：0
|
作者：
Jin Ma
Jiongmin Yong
机构：
[1] Purdue University,Department of Mathematics
[2] Fudan University,Laboratory of Mathematics for Nonlinear Science, Department of Mathematics, and Institute of Mathematical Finance
来源：
Acta Mathematica Sinica | 1999年 / 15卷
关键词：
Stochastic control; Dynamic programming; Viscosity solutions; Singular control; Impulse control; 93E20; 49L20; 49L25;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
In this paper we study a general multidimensional diffusion-type stochastic control problem. Our model contains the usual regular control problem, singular control problem and impulse control problem as special cases. Using a unified treatment of dynamic programming, we show that the value function of the problem is a viscosity solution of certain Hamilton-Jacobi-Bellman (HJB) quasivariational inequality. The uniqueness of such a quasi-variational inequality is proved.
引用
收藏
页码：485 / 506
页数：21
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