{"id":"https://openalex.org/W3017188207","doi":"https://doi.org/10.1137/19m1296288","title":"A Singular Stochastic Control Problem with Interconnected Dynamics","display_name":"A Singular Stochastic Control Problem with Interconnected Dynamics","publication_year":2020,"publication_date":"2020-01-01","ids":{"openalex":"https://openalex.org/W3017188207","doi":"https://doi.org/10.1137/19m1296288","mag":"3017188207"},"language":"en","primary_location":{"id":"doi:10.1137/19m1296288","is_oa":false,"landing_page_url":"https://doi.org/10.1137/19m1296288","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1909.12045","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5063340450","display_name":"Salvatore Federico","orcid":"https://orcid.org/0000-0001-5066-2203"},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Salvatore Federico","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"middle","author":{"id":"https://openalex.org/A5020814759","display_name":"Giorgio Ferrari","orcid":"https://orcid.org/0000-0002-2125-3301"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Giorgio Ferrari","raw_affiliation_strings":[],"affiliations":[]},{"author_position":"last","author":{"id":"https://openalex.org/A5071572256","display_name":"Patrick Schuhmann","orcid":null},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Patrick Schuhmann","raw_affiliation_strings":[],"affiliations":[]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":3,"corresponding_author_ids":["https://openalex.org/A5063340450"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":false,"cited_by_count":0,"citation_normalized_percentile":{"value":0.06734292,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"58","issue":"5","first_page":"2821","last_page":"2853"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12056","display_name":"Markov Chains and Monte Carlo Methods","score":0.9975000023841858,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T11152","display_name":"Stochastic processes and statistical mechanics","score":0.9914000034332275,"subfield":{"id":"https://openalex.org/subfields/2610","display_name":"Mathematical Physics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/monotone-polygon","display_name":"Monotone polygon","score":0.6496871709823608},{"id":"https://openalex.org/keywords/affine-transformation","display_name":"Affine transformation","score":0.6441912055015564},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.6330944299697876},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.5542619824409485},{"id":"https://openalex.org/keywords/singular-control","display_name":"Singular control","score":0.5297556519508362},{"id":"https://openalex.org/keywords/bounded-function","display_name":"Bounded function","score":0.5166071057319641},{"id":"https://openalex.org/keywords/state-space","display_name":"State space","score":0.512274444103241},{"id":"https://openalex.org/keywords/bounded-variation","display_name":"Bounded variation","score":0.4833628535270691},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.44163772463798523},{"id":"https://openalex.org/keywords/boundary","display_name":"Boundary (topology)","score":0.4228893220424652},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.36800438165664673},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.3137475848197937},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.28506243228912354},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.25008291006088257},{"id":"https://openalex.org/keywords/pure-mathematics","display_name":"Pure mathematics","score":0.13357791304588318}],"concepts":[{"id":"https://openalex.org/C2834757","wikidata":"https://www.wikidata.org/wiki/Q4925424","display_name":"Monotone polygon","level":2,"score":0.6496871709823608},{"id":"https://openalex.org/C92757383","wikidata":"https://www.wikidata.org/wiki/Q382497","display_name":"Affine transformation","level":2,"score":0.6441912055015564},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.6330944299697876},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.5542619824409485},{"id":"https://openalex.org/C2777984672","wikidata":"https://www.wikidata.org/wiki/Q7524238","display_name":"Singular control","level":3,"score":0.5297556519508362},{"id":"https://openalex.org/C34388435","wikidata":"https://www.wikidata.org/wiki/Q2267362","display_name":"Bounded function","level":2,"score":0.5166071057319641},{"id":"https://openalex.org/C72434380","wikidata":"https://www.wikidata.org/wiki/Q230930","display_name":"State space","level":2,"score":0.512274444103241},{"id":"https://openalex.org/C27851653","wikidata":"https://www.wikidata.org/wiki/Q829653","display_name":"Bounded variation","level":2,"score":0.4833628535270691},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.44163772463798523},{"id":"https://openalex.org/C62354387","wikidata":"https://www.wikidata.org/wiki/Q875399","display_name":"Boundary (topology)","level":2,"score":0.4228893220424652},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.36800438165664673},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.3137475848197937},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.28506243228912354},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.25008291006088257},{"id":"https://openalex.org/C202444582","wikidata":"https://www.wikidata.org/wiki/Q837863","display_name":"Pure mathematics","level":1,"score":0.13357791304588318},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0}],"mesh":[],"locations_count":7,"locations":[{"id":"doi:10.1137/19m1296288","is_oa":false,"landing_page_url":"https://doi.org/10.1137/19m1296288","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1909.12045","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1909.12045","pdf_url":"https://arxiv.org/pdf/1909.12045","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"mag:3017188207","is_oa":true,"landing_page_url":"http://arxiv.org/pdf/1909.12045.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"pmh:oai:econstor.eu:10419/324249","is_oa":true,"landing_page_url":"https://hdl.handle.net/10419/324249","pdf_url":null,"source":{"id":"https://openalex.org/S4306401696","display_name":"Econstor (Econstor)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":null,"host_organization_name":null,"host_organization_lineage":[],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"doc-type:workingPaper"},{"id":"pmh:oai:iris.unige.it:11567/1020908","is_oa":false,"landing_page_url":"http://hdl.handle.net/11567/1020908","pdf_url":null,"source":{"id":"https://openalex.org/S4377196291","display_name":"CINECA IRIS Institutial Research Information System (University of Genoa)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I83816512","host_organization_name":"University of Genoa","host_organization_lineage":["https://openalex.org/I83816512"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/article"},{"id":"pmh:oai:pub.uni-bielefeld.de:2949212","is_oa":false,"landing_page_url":"https://pub.uni-bielefeld.de/record/2949212","pdf_url":null,"source":{"id":"https://openalex.org/S4306401670","display_name":"PUB \u2013 Publications at Bielefeld University (Bielefeld University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I20121455","host_organization_name":"Bielefeld University","host_organization_lineage":["https://openalex.org/I20121455"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"http://purl.org/coar/resource_type/c_6501"},{"id":"doi:10.48550/arxiv.1909.12045","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1909.12045","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1909.12045","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1909.12045","pdf_url":"https://arxiv.org/pdf/1909.12045","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G6052429835","display_name":null,"funder_award_id":"(DFG)","funder_id":"https://openalex.org/F4320320879","funder_display_name":"Deutsche Forschungsgemeinschaft"}],"funders":[{"id":"https://openalex.org/F4320320879","display_name":"Deutsche Forschungsgemeinschaft","ror":"https://ror.org/018mejw64"}],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":42,"referenced_works":["https://openalex.org/W30589444","https://openalex.org/W585628971","https://openalex.org/W638687224","https://openalex.org/W1494380031","https://openalex.org/W1502587714","https://openalex.org/W1558902221","https://openalex.org/W1580561995","https://openalex.org/W1588690085","https://openalex.org/W1967104365","https://openalex.org/W1970030120","https://openalex.org/W1986179630","https://openalex.org/W1996097431","https://openalex.org/W1996204566","https://openalex.org/W1999678062","https://openalex.org/W2004328604","https://openalex.org/W2006815132","https://openalex.org/W2014523542","https://openalex.org/W2033780464","https://openalex.org/W2040841604","https://openalex.org/W2044803601","https://openalex.org/W2047218433","https://openalex.org/W2055301525","https://openalex.org/W2059339817","https://openalex.org/W2060061508","https://openalex.org/W2060564694","https://openalex.org/W2065132855","https://openalex.org/W2077216271","https://openalex.org/W2094591480","https://openalex.org/W2104260102","https://openalex.org/W2106742651","https://openalex.org/W2115527256","https://openalex.org/W2132973642","https://openalex.org/W2142874885","https://openalex.org/W2178119297","https://openalex.org/W2215903555","https://openalex.org/W2289950472","https://openalex.org/W2962731325","https://openalex.org/W3099299885","https://openalex.org/W3122522868","https://openalex.org/W3122581710","https://openalex.org/W4210474967","https://openalex.org/W4247206600"],"related_works":["https://openalex.org/W2765493160","https://openalex.org/W2292034926","https://openalex.org/W2162657038","https://openalex.org/W1976606898","https://openalex.org/W2189310154","https://openalex.org/W2741448837","https://openalex.org/W2950110256","https://openalex.org/W1842646425","https://openalex.org/W3098739072","https://openalex.org/W1994783634","https://openalex.org/W2099529319","https://openalex.org/W3194242699","https://openalex.org/W2963343736","https://openalex.org/W2611838891","https://openalex.org/W1968671122","https://openalex.org/W1837381746","https://openalex.org/W2749148164","https://openalex.org/W2951727017","https://openalex.org/W2071422683","https://openalex.org/W2927309664"],"abstract_inverted_index":{"In":[0],"this":[1],"paper":[2],"we":[3,76,85],"study":[4],"a":[5,17,23,66,90,95,104],"Markovian":[6],"two-dimensional":[7],"bounded-variation":[8],"stochastic":[9],"control":[10,121],"problem":[11],"whose":[12],"state":[13,41,123],"process":[14],"consists":[15],"of":[16,22,35,39,46,54,58,68,80,106,131],"diffusive":[18,48],"mean-reverting":[19],"component":[20,49],"and":[21,73,84],"purely":[24,60],"controlled":[25,61],"one.":[26,62],"The":[27],"main":[28],"problem's":[29,122],"characteristic":[30],"lies":[31],"in":[32,100,125],"the":[33,36,40,43,47,55,59,78,81,111,120,132],"interaction":[34],"two":[37,112],"components":[38],"process:":[42],"mean-reversion":[44],"level":[45],"is":[50,97],"an":[51],"affine":[52],"function":[53,83],"current":[56],"value":[57,82],"By":[63],"relying":[64],"on":[65],"combination":[67],"techniques":[69],"from":[70],"viscosity":[71],"theory":[72],"free-boundary":[74],"analysis,":[75],"provide":[77],"structure":[79],"show":[86],"that":[87,118],"it":[88],"satisfies":[89],"second-order":[91],"smooth-fit":[92],"principle.":[93],"Such":[94],"regularity":[96],"then":[98],"exploited":[99],"order":[101],"to":[102],"determine":[103],"system":[105],"functional":[107],"equations":[108],"solved":[109],"by":[110],"monotone":[113],"continuous":[114],"curves":[115],"(free":[116],"boundaries)":[117],"split":[119],"space":[124],"three":[126],"connected":[127],"regions.":[128],"Further":[129],"properties":[130],"free":[133],"boundaries":[134],"are":[135],"also":[136],"obtained.":[137]},"counts_by_year":[],"updated_date":"2026-03-12T08:34:05.389933","created_date":"2025-10-10T00:00:00"}
