Bounded Variation Singular Stochastic Control and Dynkin Game

DOI10.1137/S0363012903429049zbMath1139.93038OpenAlexW2044693101MaRDI QIDQ3427522

Frederik Boetius

Publication date: 20 March 2007

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

Full work available at URL: https://doi.org/10.1137/s0363012903429049

zbMATH Keywords

optimal stoppingbackward stochastic differential equationsingular stochastic controlDynkin gamecomparison theorem for SDEpathwise constructionnonlinear cost functional

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Management decision making, including multiple objectives (90B50) Inventory, storage, reservoirs (90B05) 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) Stochastic games, stochastic differential games (91A15) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30)

Related Items (12)

MINIMUM GUARANTEED PAYMENTS AND COSTLY CANCELLATION RIGHTS: A STOPPING GAME PERSPECTIVE ⋮ A class of solvable stopping games ⋮ On solvability of a two-sided singular control problem ⋮ Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls ⋮ From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes ⋮ A singular stochastic control problem with direction switching cost ⋮ Solving singular control from optimal switching ⋮ Singular control of the drift of a Brownian system ⋮ On a Class of Path-Dependent Singular Stochastic Control Problems ⋮ Nonzero-sum games of optimal stopping for Markov processes ⋮ 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

This page was built for publication: Bounded Variation Singular Stochastic Control and Dynkin Game