Optimal stopping and free boundary characterizations for some Brownian control problems

DOI10.1214/08-AAP525zbMath1158.93032arXiv0901.2474OpenAlexW3099299885MaRDI QIDQ2378635

Kevin Ross, Amarjit Budhiraja

Publication date: 13 January 2009

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0901.2474

zbMATH Keywords

optimal stoppingHamilton-Jacobi-Bellman equationsfree boundaryviscosity solutionsBrownian control problem\(\epsilon\)-optimal stopping timesingular control with state constrains

Mathematics Subject Classification ID

Nonlinear elliptic equations (35J60) Optimal stochastic control (93E20) Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Stopping times; optimal stopping problems; gambling theory (60G40) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

Related Items (5)

Minimizing the ruin probability allowing investments in two assets: a two-dimensional problem ⋮ Optimal control problems with stopping constraints ⋮ The dividend problem with a finite horizon ⋮ A Singular Stochastic Control Problem with Interconnected Dynamics ⋮ Stochastic nonzero-sum games: a new connection between singular control and optimal stopping

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