Singular stochastic control and optimal stopping

DOI10.1080/17442508708833449zbMath0615.60040OpenAlexW2004781836MaRDI QIDQ4722939

Fridrik M. Baldursson

Publication date: 1987

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508708833449

zbMATH Keywords

controlling a Brownian motionoptimal stopping for Brownian motionreflected and non-reflected control problemsTanaka-Meyer formula for semimartingales

Mathematics Subject Classification ID

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

Related Items

On a class of singular stochastic control problems for reflected diffusions ⋮ Optimal execution with multiplicative price impact and incomplete information on the return ⋮ Singular optimal controls of stochastic recursive systems and Hamilton-Jacobi-Bellman inequality ⋮ Singular optimal controls for stochastic recursive systems under convex control constraint ⋮ Corrected random walk approximations to free boundary problems in optimal stopping ⋮ Connections between optimal stopping and singular stochastic control ⋮ An Optimal Dividend Problem with Capital Injections over a Finite Horizon

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Reflexion discontinue et systèmes stochastiques
• On optimal stopping and free boundary problems
• Optimal control of a Brownian storage system
• Instantaneous Control of Brownian Motion
• On Transforming a Certain Class of Stochastic Processes by Absolutely Continuous Substitution of Measures
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Average Optimal Singular Control and a Related Stopping Problem
• Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
• Additive Control of Stochastic Linear Systems with Finite Horizon
• Some solvable stochastic control problemst^†
• A class of singular stochastic control problems
• On Stefan’s Problem and Optimal Stopping Rules for Markov Processes
• Existence of Optimal Strategies Based on Specified Information, for a Class of Stochastic Decision Problems
• Optimal stopping problems for Brownian motion
• Dynamic Programming Conditions for Partially Observable Stochastic Systems
• On stochastic optimal control laws