Connections between optimal stopping and singular stochastic control

DOI10.1016/S0304-4149(98)00049-0zbMath0927.93057MaRDI QIDQ1807267

Michael Kohlmann, Frederik Boetius

Publication date: 18 November 1999

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

optimal stoppingimpulse controlsingular controlirreversible investmentItô diffusion

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Related Items (16)

Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls ⋮ Nonzero-Sum Submodular Monotone-Follower Games: Existence and Approximation of Nash Equilibria ⋮ Expected Supremum Representation of the Value of a Singular Stochastic Control Problem ⋮ From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes ⋮ The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem ⋮ A singular stochastic control problem with direction switching cost ⋮ The dividend problem with a finite horizon ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ Solving singular control from optimal switching ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ Necessary conditions for optimal singular stochastic control problems ⋮ On an integral equation for the free-boundary of stochastic, irreversible investment problems ⋮ On a Class of Path-Dependent Singular Stochastic Control Problems ⋮ Optimal dividends with partial information and stopping of a degenerate reflecting diffusion ⋮ Stochastic nonzero-sum games: a new connection between singular control and optimal stopping ⋮ A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis

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