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A Connection between Singular Stochastic Control and Optimal Stopping · Study

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ArticleA Connection between Singular Stochastic Control and Optimal Stopping

Fred Espen Benth2003

Article2003

A Connection between Singular Stochastic Control and Optimal Stopping

Fred Espen Benth · Kristin Reikvam

34 citations·0/0 files stored·Applied Mathematics & Optimization

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Stochastic processes and financial applications Nonlinear Partial Differential Equations Adaptive Dynamic Programming Control

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References

2005Controlled Markov Processes and Viscosity Solutions 1980Controlled Diffusion Processes 2006Stochastic Differential Equations 2002Stochastic Differential Equations 1995Optimization of the flow of dividends 1980Some solvable stochastic control problemst†1984Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems 1996On an Investment-Consumption Model with Transaction Costs

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2018Stochastic nonzero-sum games: a new connection between singular control and optimal stopping 2017Optimal Boundary Surface for Irreversible Investment with Stochastic Costs 2017The dividend problem with a finite horizon 2020Optimal dividends with partial information and stopping of a degenerate reflecting diffusion

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Year2003

Typearticle

Published2003-11-14

VenueApplied Mathematics & Optimization

ISSN-L0095-4616

Languageen

Citations34

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1007/s00245-003-0778-2

openalex_workW2020337075

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