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math.OC2014
Optimal multi-dimensional stochastic harvesting with density-dependent prices
Luis H. R. Alvarez, Edward Lungu, Bernt Øksendal
We prove a verification theorem for a class of singular control problems which model optimal harvesting with density-dependent prices or optimal dividend policy with capital-depend…
math.OC2012★ 2 cited
Maximum principles for jump diffusion processes with infinite horizon
Sven Haadem, Bernt Øksendal, Frank Proske
We prove maximum principles for the problem of optimal control for a jump diffusion with infinite horizon and partial information. The results are applied to partial information op…