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Expected Supremum Representation of the Value of a Singular Stochastic Control Problem.

Luis H. R. AlvarezPekka Matomäki
Published in: SIAM J. Control. Optim. (2017)
Keyphrases
  • stochastic control
  • queueing systems
  • optimal control
  • control problems
  • operations management
  • brownian motion
  • multiscale
  • partial differential equations