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math.PR2009★ 9 cited
Optimal stopping and free boundary characterizations for some Brownian control problems
Amarjit Budhiraja, Kevin Ross
A singular stochastic control problem with state constraints in two-dimensions is studied. We show that the value function is and its directional derivatives are the value fu…
math.PR2007★ 26 cited
Existence of optimal controls for singular control problems with state constraints
Amarjit Budhiraja, Kevin Ross
We establish the existence of an optimal control for a general class of singular control problems with state constraints. The proof uses weak convergence arguments and a time resca…