A Singular Control Problem with Discretionary Stopping for Geometric Brownian Motions

DOI10.1137/080734856zbMath1205.93168OpenAlexW2084498026MaRDI QIDQ3060367

Hiroaki Morimoto

Publication date: 3 December 2010

Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/080734856

zbMATH Keywords

variational inequalityoptimal stoppingviscosity solutionsgeometric Brownian motionsingular stochastic control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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