The existence of optimal singular controls for stochastic differential equations
We study a singular control problem where the state process is governed by an Ito stochastic differential equation allowing both classical and singular coutrols. By reformulating the state equation as a martingale problem on an appropriate canonical space, it is shown, under mild continuity condi...
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| Language: | English |
| Published: |
2009
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| Online Access: | http://hdl.handle.net/2429/6966 |
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