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math.OC2019
A Singular Stochastic Control Problem with Interconnected Dynamics
Salvatore Federico, Giorgio Ferrari, Patrick Schuhmann
In this paper we study a Markovian two-dimensional bounded-variation stochastic control problem whose state process consists of a diffusive mean-reverting component and of a purely…
math.OC2019
On a Class of Infinite-Dimensional Singular Stochastic Control Problems
Salvatore Federico, Giorgio Ferrari, Frank Riedel +1
We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evo…