We study partial information, possibly non-Markovian, singular stochastic control of Itô--
Lévy processes and obtain general maximum principles. The results are used to find …

We consider an irreversible capacity expansion model in which additional investment has a
strictly negative effect on the value of an underlying stochastic economic indicator. The …

We consider general singular control problems for random fields given by a stochastic
partial differential equation (SPDE). We show that under some conditions the optimal …

This paper is concerned with necessary as well as sufficient conditions for near-optimality of
controlled jump diffusion processes. Necessary conditions for a control to be near-optimal …

This paper investigates the relationship between the stochastic maximum principle and the
dynamic programming principle for singular stochastic control problems. The state of the …

This paper deals with optimal control of systems driven by stochastic differential equations
(SDEs), with controlled jumps, where the control variable has two components, the first …

In the present work, a stochastic maximum principle for discounted control of a certain class
of degenerate diffusion processes with global Lipschitz coefficient is investigated. The value …

In this paper, we consider stochastic recursive optimal control problem, in which the control
variable has two components with the first absolutely continuous and the second singular …

The main objective of this paper is to explore the relationship between the stochastic
maximum principle (SMP in short) and dynamic programming principle (DPP in short), for …

In this paper, we consider stochastic optimal control of systems driven by stochastic
differential equations with irregular drift coefficient. We establish a necessary and sufficient …