Extension of A Class of Singular Stochastic Control Problem
Zhu Xiao · 2003
This paper studies a class of singular stochastic control problem, which was proposed initially by S.E.Shreve and J.P.Lehoczky. But its cost function is too simple to be used. For the sake of extending its application, in this paper the cost funtion is modified. Further, the conclusion is made ues to solve a storage problem, getting an optimal control policy between storage and need.