Pages that link to "Item:Q3343901"

The following pages link to Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems (Q3343901):

Displaying 36 items.

• A solvable singular control problem driven by a jump diffusion process with applications (Q2803407) (← links)
• Irreversible investment under Lévy uncertainty: an equation for the optimal boundary (Q2806358) (← links)
• Existence, Characterization, and Approximation in the Generalized Monotone-Follower Problem (Q2957558) (← links)
• On the Optimal Management of Public Debt: a Singular Stochastic Control Problem (Q3176296) (← links)
• Absolutely continuous and singular stochastic control^† (Q3679089) (← links)
• A maximal inequality for stochastic convolution integrals on hilbert spaces and space-time regularity of linear stochastic partial differential equations (Q3759634) (← links)
• Singular control problems in bounded intervals (Q3764785) (← links)
• Equivalent models for finite-fuel stochastic control (Q3775455) (← links)
• A new approach to the skorohod problem, and its applications (Q3971876) (← links)
• HEDGING AND PORTFOLIO OPTIMIZATION UNDER TRANSACTION COSTS: A MARTINGALE APPROACH¹² (Q4226860) (← links)
• A Markov decision process with convex reward and its associated stopping game (Q4239538) (← links)
• A Class of Solvable Stochastic Investment Problems Involving Singular Controls (Q4311571) (← links)
• Expected Supremum Representation of the Value of a Singular Stochastic Control Problem (Q4599715) (← links)
• On the relationship between the stochastic maximum principle and dynamic programming in singular stochastic control^† (Q4648585) (← links)
• On a Class of Path-Dependent Singular Stochastic Control Problems (Q4684782) (← links)
• A class of solvable singular stochastic control problems (Q4700350) (← links)
• A free boundary problem related to singular stochastic control: the parabolic case (Q4713358) (← links)
• Singular stochastic control and optimal stopping (Q4722939) (← links)
• The optimal control of the cheap monotone follower (Q4849123) (← links)
• Optimal Tracking Portfolio with a Ratcheting Capital Benchmark (Q5000625) (← links)
• Optimal Stopping, Randomized Stopping, and Singular Control with General Information Flow (Q5034422) (← links)
• Optimal stochastic impulse control with random coefficients and execution delay (Q5085830) (← links)
• Nonzero-Sum Submodular Monotone-Follower Games: Existence and Approximation of Nash Equilibria (Q5111069) (← links)
• Long-Run Risk-Sensitive Impulse Control (Q5130920) (← links)
• Stochastic nonzero-sum games: a new connection between singular control and optimal stopping (Q5215005) (← links)
• A Solvable Two-Dimensional Degenerate Singular Stochastic Control Problem with Nonconvex Costs (Q5219728) (← links)
• Optimal Control of Debt-to-GDP Ratio in an $N$-State Regime Switching Economy (Q5220413) (← links)
• A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries (Q5254904) (← links)
• The linear-quadratic stochastic optimal control problem with random horizon at the finite number of infinitesimal events (Q5406670) (← links)
• Necessary conditions for optimal singular stochastic control problems (Q5421593) (← links)
• Corrected random walk approximations to free boundary problems in optimal stopping (Q5426468) (← links)
• Optimal execution with multiplicative price impact and incomplete information on the return (Q6111009) (← links)
• Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls (Q6115260) (← links)
• From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes (Q6157892) (← links)
• The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem (Q6180251) (← links)
• Dynamic asset allocation and consumption ratcheting with costs (Q6569186) (← links)