A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs

Tiziano De Angelis, Giorgio Ferrari, John Moriarty. A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs. Math. Oper. Res., 44(2):512-531, 2019. [doi]

Authors

Tiziano De Angelis

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Giorgio Ferrari

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John Moriarty

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