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W2004328604 abstract "It is desired to control a two-dimensional Brownian motion by adding a (possibly singularly) continuous process to it so as to minimize an expected infinite-horizon discounted running cost. The Hamilton–Jacobi–Bellman characterization of the value function V is a variational inequality which has a unique twice continuously differentiable solution. The optimal control process is constructed by solving the Skorokhod problem of reflecting the two-dimensional Brownian motion along a free boundary in the $ - nabla V$ direction." @default.
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W2004328604 date "1989-07-01" @default.
W2004328604 modified "2023-10-14" @default.
W2004328604 title "Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem" @default.
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W2004328604 doi "https://doi.org/10.1137/0327047" @default.
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