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most citedMulti-dimensional Stochastic Singular Control Via Dynkin Game and Dirichlet Form

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math.OC2012★ 1 cited

Multi-dimensional Stochastic Singular Control Via Dynkin Game and Dirichlet Form

Yipeng Yang

The traditional difficulty about stochastic singular control is to characterize the regularities of the value function and the optimal control policy. In this paper, a multi-dimens…