Regularity of the value function for a two-dimensional singular stochastic control problem

Keyphrases

• Two Dimensional 100%
• Two-dimensional Brownian Motion 100%
• Regularity of the Value Function 100%
• Singular Stochastic Control 100%
• Value Function 50%
• Optimal Control 50%
• Control Process 50%
• Free Boundary 50%
• Continuous Process 50%
• Infinite Horizon 50%
• Variational Inequality 50%
• Running Cost 50%
• Hamilton-Jacobi-Bellman 50%
• Continuously Differentiable Solution 50%
• Skorokhod Problem 50%

Mathematics

• Control Problems 100%
• Stochastics 100%
• Brownian Motion 100%
• Optimal Control Theory 50%
• Minimizes 50%
• Skorokhod 50%
• Variational Inequality 50%
• Continuous Process 50%
• Continuously Differentiable Solution 50%