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scientific article; zbMATH DE number 5066279 - MaRDI portal

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zbMath1103.93049MaRDI QIDQ5493564

Huyên Pham

Publication date: 23 October 2006

Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.

zbMATH Keywords

viscosity solution Skorokhod problem singular stochastic control

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Financial applications of other theories (91G80)

Related Items (4)

A Knightian irreversible investment problem ⋮ On an integral equation for the free-boundary of stochastic, irreversible investment problems ⋮ Irreversible investment under Lévy uncertainty: an equation for the optimal boundary ⋮ A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis

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