{"id":"https://openalex.org/W2951477884","doi":"https://doi.org/10.1137/17m1114235","title":"On a Class of Path-Dependent Singular Stochastic Control Problems","display_name":"On a Class of Path-Dependent Singular Stochastic Control Problems","publication_year":2018,"publication_date":"2018-01-01","ids":{"openalex":"https://openalex.org/W2951477884","doi":"https://doi.org/10.1137/17m1114235","mag":"2951477884"},"language":"en","primary_location":{"is_oa":false,"landing_page_url":"https://doi.org/10.1137/17m1114235","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_indexed_in_scopus":true,"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":null,"is_accepted":false,"is_published":false},"type":"article","type_crossref":"journal-article","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://hal.science/hal-01481393/document","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5085971810","display_name":"Romuald \u00c9lie","orcid":null},"institutions":[{"id":"https://openalex.org/I1294671590","display_name":"Centre National de la Recherche Scientifique","ror":"https://ror.org/02feahw73","country_code":"FR","type":"government","lineage":["https://openalex.org/I1294671590"]},{"id":"https://openalex.org/I197681013","display_name":"Universit\u00e9 Paris-Est Cr\u00e9teil","ror":"https://ror.org/05ggc9x40","country_code":"FR","type":"education","lineage":["https://openalex.org/I197681013"]},{"id":"https://openalex.org/I4210144844","display_name":"Laboratoire d\u2019Analyse et de Math\u00e9matiques Appliqu\u00e9es","ror":"https://ror.org/0581g8849","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I197681013","https://openalex.org/I4210141950","https://openalex.org/I4210144844","https://openalex.org/I4210154111"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Romuald Elie","raw_affiliation_strings":["LAMA - Laboratoire d'Analyse et de Math\u00e9matiques Appliqu\u00e9es (Universit\u00e9 Paris-Est Cr\u00e9teil LAMA UMR CNRS 8050 UFR des Sciences et Technologie\r\nB\u00e2timent P3 - 4\u00e8me \u00e9tage -61, avenue du G\u00e9n\u00e9ral de Gaulle 94010 Cr\u00e9teil Cedex - France)"],"affiliations":[{"raw_affiliation_string":"LAMA - Laboratoire d'Analyse et de Math\u00e9matiques Appliqu\u00e9es (Universit\u00e9 Paris-Est Cr\u00e9teil LAMA UMR CNRS 8050 UFR des Sciences et Technologie\r\nB\u00e2timent P3 - 4\u00e8me \u00e9tage -61, avenue du G\u00e9n\u00e9ral de Gaulle 94010 Cr\u00e9teil Cedex - France)","institution_ids":["https://openalex.org/I1294671590","https://openalex.org/I197681013","https://openalex.org/I4210144844"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5056207561","display_name":"Ludovic Moreau","orcid":"https://orcid.org/0000-0002-4381-9003"},"institutions":[],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Ludovic Moreau","raw_affiliation_strings":["Ernst and Young (France)"],"affiliations":[{"raw_affiliation_string":"Ernst and Young (France)","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5004677521","display_name":"Dylan Possama\u00ef","orcid":"https://orcid.org/0000-0002-9364-0124"},"institutions":[{"id":"https://openalex.org/I171048554","display_name":"Centre de Recherche en Math\u00e9matiques de la D\u00e9cision","ror":"https://ror.org/03s0gj002","country_code":"FR","type":"facility","lineage":["https://openalex.org/I1294671590","https://openalex.org/I171048554","https://openalex.org/I2746051580","https://openalex.org/I4210141950","https://openalex.org/I56435720"]},{"id":"https://openalex.org/I56435720","display_name":"Universit\u00e9 Paris Dauphine-PSL","ror":"https://ror.org/052bz7812","country_code":"FR","type":"education","lineage":["https://openalex.org/I2746051580","https://openalex.org/I56435720"]}],"countries":["FR"],"is_corresponding":false,"raw_author_name":"Dylan Possama\u00ef","raw_affiliation_strings":["CEREMADE - CEntre de REcherches en MAth\u00e9matiques de la DEcision (Place du Mar\u00e9chal de Lattre de Tassigny 75775 - Paris Cedex 16 - France)","Universit\u00e9 Paris Dauphine-PSL (Place du Mar\u00e9chal de Lattre de Tassigny\r\n75775 PARIS Cedex 16 - France)"],"affiliations":[{"raw_affiliation_string":"CEREMADE - CEntre de REcherches en MAth\u00e9matiques de la DEcision (Place du Mar\u00e9chal de Lattre de Tassigny 75775 - Paris Cedex 16 - France)","institution_ids":["https://openalex.org/I171048554"]},{"raw_affiliation_string":"Universit\u00e9 Paris Dauphine-PSL (Place du Mar\u00e9chal de Lattre de Tassigny\r\n75775 PARIS Cedex 16 - France)","institution_ids":["https://openalex.org/I56435720"]}]}],"institution_assertions":[],"countries_distinct_count":1,"institutions_distinct_count":5,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":1.372,"has_fulltext":true,"fulltext_origin":"pdf","cited_by_count":3,"citation_normalized_percentile":{"value":0.695425,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":74,"max":77},"biblio":{"volume":"56","issue":"5","first_page":"3260","last_page":"3295"},"is_retracted":false,"is_paratext":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9969,"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":0.9969,"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/T11413","display_name":"Risk and Portfolio Optimization","score":0.9834,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9823,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.47201508}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8438642},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.73544145},{"id":"https://openalex.org/C2777735758","wikidata":"https://www.wikidata.org/wiki/Q817765","display_name":"Path (computing)","level":2,"score":0.54333895},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.47201508},{"id":"https://openalex.org/C2775924081","wikidata":"https://www.wikidata.org/wiki/Q55608371","display_name":"Control (management)","level":2,"score":0.46933404},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4518565},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.42650867},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.38776663},{"id":"https://openalex.org/C2777686260","wikidata":"https://www.wikidata.org/wiki/Q144037","display_name":"Calculus (dental)","level":2,"score":0.36895597},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.34047168},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.12413284},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.07948959},{"id":"https://openalex.org/C71924100","wikidata":"https://www.wikidata.org/wiki/Q11190","display_name":"Medicine","level":0,"score":0.0},{"id":"https://openalex.org/C199343813","wikidata":"https://www.wikidata.org/wiki/Q12128","display_name":"Dentistry","level":1,"score":0.0},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"is_oa":false,"landing_page_url":"https://doi.org/10.1137/17m1114235","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_indexed_in_scopus":true,"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":null,"is_accepted":false,"is_published":false},{"is_oa":true,"landing_page_url":"https://hal.archives-ouvertes.fr/hal-01481393","pdf_url":"https://hal.science/hal-01481393/document","source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_indexed_in_scopus":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":["Centre National de la Recherche Scientifique"],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false},{"is_oa":true,"landing_page_url":"https://arxiv.org/abs/1701.08861","pdf_url":"https://arxiv.org/pdf/1701.08861","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_indexed_in_scopus":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":["Cornell University"],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false},{"is_oa":true,"landing_page_url":"https://hal.science/hal-01481393/file/1701.08861.pdf","pdf_url":"https://hal.science/hal-01481393/file/1701.08861.pdf","source":null,"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false},{"is_oa":true,"landing_page_url":"https://hal.archives-ouvertes.fr/hal-01481393/document","pdf_url":"https://hal.archives-ouvertes.fr/hal-01481393/document","source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_indexed_in_scopus":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":["Centre National de la Recherche Scientifique"],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false},{"is_oa":false,"landing_page_url":"https://api.datacite.org/dois/10.48550/arxiv.1701.08861","pdf_url":null,"source":{"id":"https://openalex.org/S4393179698","display_name":"DataCite API","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_indexed_in_scopus":false,"is_core":false,"host_organization":"https://openalex.org/I4210145204","host_organization_name":"DataCite","host_organization_lineage":["https://openalex.org/I4210145204"],"host_organization_lineage_names":["DataCite"],"type":"metadata"},"license":null,"license_id":null,"version":null}],"best_oa_location":{"is_oa":true,"landing_page_url":"https://hal.archives-ouvertes.fr/hal-01481393","pdf_url":"https://hal.science/hal-01481393/document","source":{"id":"https://openalex.org/S4306402512","display_name":"HAL (Le Centre pour la Communication Scientifique Directe)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_indexed_in_scopus":false,"is_core":false,"host_organization":"https://openalex.org/I1294671590","host_organization_name":"Centre National de la Recherche Scientifique","host_organization_lineage":["https://openalex.org/I1294671590"],"host_organization_lineage_names":["Centre National de la Recherche Scientifique"],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false},"sustainable_development_goals":[],"grants":[{"funder":"https://openalex.org/F4320320883","funder_display_name":"Agence Nationale de la Recherche","award_id":"ANR-16-CE05-0027"}],"datasets":[],"versions":[],"referenced_works_count":39,"referenced_works":["https://openalex.org/W1573249148","https://openalex.org/W1580148192","https://openalex.org/W1627677265","https://openalex.org/W1647881072","https://openalex.org/W1825269578","https://openalex.org/W1846487531","https://openalex.org/W1858128010","https://openalex.org/W1976352744","https://openalex.org/W2018706083","https://openalex.org/W2020337075","https://openalex.org/W2032549367","https://openalex.org/W2044693101","https://openalex.org/W2053235992","https://openalex.org/W2060950178","https://openalex.org/W2063996763","https://openalex.org/W2069017184","https://openalex.org/W2073097666","https://openalex.org/W2079246218","https://openalex.org/W2094591480","https://openalex.org/W2115580984","https://openalex.org/W2118626917","https://openalex.org/W2128802446","https://openalex.org/W2138120159","https://openalex.org/W2145704596","https://openalex.org/W2154235936","https://openalex.org/W2157883119","https://openalex.org/W2254406905","https://openalex.org/W2270251278","https://openalex.org/W2325688143","https://openalex.org/W2490762217","https://openalex.org/W265981540","https://openalex.org/W2962718871","https://openalex.org/W2964009404","https://openalex.org/W2964238304","https://openalex.org/W3100618846","https://openalex.org/W3101566353","https://openalex.org/W3102177650","https://openalex.org/W4230022934","https://openalex.org/W4251523463"],"related_works":["https://openalex.org/W4386034604","https://openalex.org/W4381248241","https://openalex.org/W4366198066","https://openalex.org/W3120484221","https://openalex.org/W3099285423","https://openalex.org/W3047748938","https://openalex.org/W2943897807","https://openalex.org/W278441094","https://openalex.org/W2358522863","https://openalex.org/W2037349991"],"abstract_inverted_index":{"This":[0],"paper":[1],"studies":[2],"a":[3,15,33,40],"class":[4],"of":[5,21,32,58,74,85,99,106,112],"non$-$Markovian":[6,49,130],"singular":[7,42,79],"stochastic":[8,80],"control":[9,23,81],"problems,":[10],"for":[11,61,129],"which":[12],"we":[13,120],"provide":[14],"novel":[16],"probabilistic":[17],"representation.":[18],"The":[19],"solution":[20,31,76,108],"such":[22],"problem":[24,82,125],"is":[25],"proved":[26],"to":[27,39,47,70,77,96,103,114],"identify":[28],"with":[29,36,126],"the":[30,48,56,72,75,78,86,97,104,107,110,122],"$Z-$constrained":[34,115],"BSDE,":[35],"dynamics":[37],"associated":[38],"non":[41],"underlying":[43],"forward":[44],"process.":[45],"Due":[46],"environment,":[50],"our":[51],"main":[52],"argumentation":[53],"relies":[54],"on":[55],"use":[57],"comparison":[59],"arguments":[60],"path":[62],"dependent":[63],"PDEs.":[64],"Our":[65,92],"representation":[66,105],"allows":[67],"in":[68,83],"particular":[69],"quantify":[71],"regularity":[73],"terms":[84],"space":[87],"and":[88],"time":[89],"initial":[90],"data.":[91],"framework":[93],"also":[94],"extends":[95],"consideration":[98],"degenerate":[100],"diffusions,":[101],"leading":[102],"as":[109],"infimum":[111],"solutions":[113],"BSDEs.":[116],"As":[117],"an":[118],"application,":[119],"study":[121],"utility":[123],"maximisation":[124],"transaction":[127],"costs":[128],"dynamics.":[131]},"cited_by_api_url":"https://api.openalex.org/works?filter=cites:W2951477884","counts_by_year":[{"year":2021,"cited_by_count":2},{"year":2019,"cited_by_count":1}],"updated_date":"2025-01-20T19:42:50.418332","created_date":"2019-06-27"}