Singular and Bang-Bang Stochastic Control.
Final rept. 1 Oct 1988-30 Sep 1990,
CARNEGIE-MELLON UNIV PITTSBURGH PA DEPT OF MATHEMATICS
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Research supported by this grant focussed on the regularity of the value function for multi-dimensional singular stochastic control problems. In addition, a multi-dimensional finite-fuel problem has been studied, and known results for one dimensional problems have been extended to higher dimensions.
- Statistics and Probability