A singular stochastic control problem with direction switching cost
Year of publication: |
2023
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Authors: | Kruk, Łukasz |
Published in: |
Mathematical methods of operations research : ZOR. - Berlin : Springer, ISSN 1432-5217, ZDB-ID 1459420-1. - Vol. 98.2023, 3, p. 325-349
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Subject: | Brownian motion | Direction switching cost | Explicit solution | HJB equations | Singular stochastic control | Stochastic switching | Stochastischer Prozess | Stochastic process | Kontrolltheorie | Control theory | Wechselverhalten | Switching behaviour | Markov-Kette | Markov chain |
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