A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries

DOI10.1137/14096801XzbMath1314.93066arXiv1405.2442OpenAlexW3122581710WikidataQ61833295 ScholiaQ61833295MaRDI QIDQ5254904

Tiziano De Angelis, Giorgio Ferrari, John Moriarty

Publication date: 10 June 2015

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

Full work available at URL: https://arxiv.org/abs/1405.2442

zbMATH Keywords

optimal stoppingfree boundarysmooth fitirreversible investmentHamilton-Jacobi-Bellmann equationfinite-fuel singular stochastic control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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