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- W2113733489 abstract "We consider general singular control problems for random fields given by a stochastic partial differential equation (SPDE). We show that under some conditions the optimal singular control can be identified with the solution of a coupled system of SPDE and a reflected backward SPDE (RBSPDE). As an illustration we apply the result to a singular optimal harvesting problem from a population whose density is modeled as a stochastic reaction-diffusion equation. Existence and uniqueness of solutions of RBSPDEs are established, as well as comparison theorems. We then establish a relation between RBSPDEs and optimal stopping of SPDEs, and apply the result to a risk-minimizing stopping problem." @default.
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- W2113733489 date "2014-05-01" @default.
- W2113733489 modified "2023-10-17" @default.
- W2113733489 title "Singular Control and Optimal Stopping of SPDEs, and Backward SPDEs with Reflection" @default.
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- W2113733489 doi "https://doi.org/10.1287/moor.2013.0602" @default.
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