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Singular stochastic control and optimal stopping - MaRDI portal

Singular stochastic control and optimal stopping (Q4722939)

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scientific article; zbMATH DE number 3996767
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English
Singular stochastic control and optimal stopping
scientific article; zbMATH DE number 3996767

    Statements

    title
    Singular stochastic control and optimal stopping (English)
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    published in
    Stochastics
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    publication date
    1987
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    Mathematics Subject Classification ID
    60G40
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    60H10
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    93E20
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    zbMATH DE Number
    3996767
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    zbMATH Keywords
    controlling a Brownian motion
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    optimal stopping for Brownian motion
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    reflected and non-reflected control problems
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    Tanaka-Meyer formula for semimartingales
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    OpenAlex ID
    W2004781836
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