SIAM Journal on Control and Optimization, Vol.54, No.3, 1657-1677, 2016
CHARACTERIZATION OF THE OPTIMAL POLICY FOR A MULTIDIMENSIONAL PARABOLIC SINGULAR STOCHASTIC
We consider a singular stochastic control problem with convex running cost for the n-dimensional Brownian motion on a finite time horizon. Using a direct probabilistic approach, we characterize the optimal control as a unique solution to the corresponding (generalized) Skorokhod problem for the time-dependent nonaction region.
Keywords:singular stochastic control;Brownian motion;optimal control;Skorokhod problem;time-dependent boundary