A new class of singular stochastic control problems

被引：11

作者：

Lasry, JM

Lions, PL

机构：

[1] CPR, F-75009 Paris, France

[2] Univ Paris 09, CEREMADE, UMR 7534, F-75775 Paris 16, France

来源：

COMPTES RENDUS DE L ACADEMIE DES SCIENCES SERIE I-MATHEMATIQUE | 2000年 / 331卷 / 11期

关键词：

D O I：

10.1016/S0764-4442(00)01740-7

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

We introduce a new class of singular stochastic control problems for which the dynamic programming approach reduces to the invariance of the value function by a pow. We derive here a "reduced" equivalent problem allowing to solve the initial problem. (C) 2000 Academie des sciences/Editions scientifiques et medicales Elsevier SAS.

引用

页码：879 / 885

页数：7

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