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A singular control model with application to the goodwill problem

Author
JACK, Andrew1 ; JOHNSON, Timothy C2 ; ZERVOS, Mihail3
[1] Department of Mathematics, King's College London, The Strand, London WC2R 2LS, United Kingdom
[2] Department of Actuarial Mathematics and Statistics, and the Maxwell Institute for Mathematical Sciences, Heriot-Watt University, Edinburgh EH14 4AS, United Kingdom
[3] Department of Mathematics, London School of Economics, Houghton Street, London WC2A 2AE, United Kingdom
Source

Stochastic processes and their applications. 2008, Vol 118, Num 11, pp 2098-2124, 27 p ; ref : 36 ref

CODEN
STOPB7
ISSN
0304-4149
Scientific domain
Computer science; Mathematics
Publisher
Elsevier Science, Amsterdam
Publication country
Netherlands
Document type
Article
Language
English
Author keyword
49J15 49L20 60J60 91B70 93E20 Goodwill problem Monotone follower problem Second-order linear ODE's Singular control
Keyword (fr)
Application Commande singulière Commande stochastique Contrôle stochastique Equation différentielle linéaire Equation différentielle Equation non linéaire Méthode optimisation Processus stochastique Système stochastique Problème contrôle
Keyword (en)
Application Singular control Stochastic control Stochastic control(mathematics) Linear differential equations Differential equation Non linear equation Optimization method Stochastic process Stochastic system
Keyword (es)
Aplicación Control singular Control estocástico Control estocástico Ecuación diferencial Ecuación no lineal Método optimización Proceso estocástico Sistema estocástico
Classification
Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01H Stochastic processes

Pascal
001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H01 Probability theory and stochastic processes / 001A02H01I Stochastic analysis

Discipline
Mathematics
Origin
Inist-CNRS
Database
PASCAL
INIST identifier
20819424

Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS

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