Connections between optimal stopping and singular stochastic control

Stochastic Processes and their Applications ◽

10.1016/s0304-4149(98)00049-0 ◽

1998 ◽

Vol 77 (2) ◽

pp. 253-281 ◽

Author(s):

Frederik Boetius ◽

Michael Kohlmann

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control

Download Full-text

A Non Convex Singular Stochastic Control Problem and Its Related Optimal Stopping Boundaries

SSRN Electronic Journal ◽

10.2139/ssrn.2435375 ◽

2014 ◽

Author(s):

Tiziano De Angelis ◽

Giorgio Ferrari ◽

John Moriarty

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control ◽

Stochastic Control Problem

Download Full-text

Singular stochastic control and optimal stopping

Stochastics ◽

10.1080/17442508708833449 ◽

1987 ◽

Vol 21 (1) ◽

pp. 1-40 ◽

Author(s):

Friorik mar Baldursson

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control

Download Full-text

Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems

SIAM Journal on Control and Optimization ◽

10.1137/0323028 ◽

1985 ◽

Vol 23 (3) ◽

pp. 433-451 ◽

Author(s):

Ioannis Karatzas ◽

Steven E. Shreve

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control

Download Full-text

Combined Optimal Stopping and Singular Stochastic Control

Stochastic Analysis and Applications ◽

10.1080/07362991003708739 ◽

2010 ◽

Vol 28 (3) ◽

pp. 401-414 ◽

Author(s):

Ta Thi Kieu An

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control

Download Full-text

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

SIAM Journal on Control and Optimization ◽

10.1137/14096801x ◽

2015 ◽

Vol 53 (3) ◽

pp. 1199-1223 ◽

Author(s):

Tiziano De Angelis ◽

Giorgio Ferrari ◽

John Moriarty

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control ◽

Stochastic Control Problem

Download Full-text

Singular Stochastic Control and Optimal Stopping with Partial Information of Itô--Lévy Processes

SIAM Journal on Control and Optimization ◽

10.1137/100793931 ◽

2012 ◽

Vol 50 (4) ◽

pp. 2254-2287 ◽

Author(s):

Bernt Øksendal ◽

Agnès Sulem

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Lévy Processes ◽

Partial Information ◽

Levy Processes ◽

Singular Stochastic Control

Download Full-text

Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems

SIAM Journal on Control and Optimization ◽

10.1137/s0363012900367825 ◽

2001 ◽

Vol 39 (6) ◽

pp. 1697-1710 ◽

Author(s):

Luis H. R. Alvarez

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control ◽

Linear Diffusions ◽

Solvable Problems

Download Full-text

A Connection between Singular Stochastic Control and Optimal Stopping

Applied Mathematics & Optimization ◽

10.1007/s00245-003-0778-2 ◽

2003 ◽

Vol 49 (1) ◽

pp. 27-41 ◽

Author(s):

Fred Espen Benth ◽

Kristin Reikvam

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control

Download Full-text

On singular stochastic control and optimal stopping of spectrally negative jump diffusions

Stochastics ◽

10.1080/17442500802215037 ◽

2009 ◽

Vol 81 (1) ◽

pp. 55-78 ◽

Author(s):

Luis H.R. Alvarez ◽

Teppo A. Rakkolainen

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control ◽

Jump Diffusions ◽

Download Full-text

Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems

SIAM Journal on Control and Optimization ◽

10.1137/0322054 ◽

1984 ◽

Vol 22 (6) ◽

pp. 856-877 ◽

Author(s):

Ioannis Karatzas ◽

Steven E. Shreve

Keyword(s):

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control

Download Full-text