A mixed singular/switching control problem for a dividend policy with reversible technology investment

DOI10.1214/07-AAP482zbMath1141.60020arXiv0806.2745OpenAlexW2140264779MaRDI QIDQ930682

Huyên Pham, Stéphane Villeneuve, Vathana Ly Vath

Publication date: 1 July 2008

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0806.2745

zbMATH Keywords

viscosity solutionsystem of variational inequalitiesmixed singular/switching control problemsmooth-fit property

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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