SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
A Connection between Singular Stochastic Control and Optimal Stopping
16 references·4 citing·38 second hop
A Connection between Singular Stochastic Control and Optimal Stopping (2003)A Connection between Singular Stochastic …Stochastic Differential Equations (2006)Stochastic Differential Equat…A class of singular stochastic control problems (2006)A class of singular stochasti…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Stochastic Differential Equations (2002)Stochastic Differential Equat…Connections between optimal stopping and singular stochastic control (1998)Connections between optimal s…On an Investment-Consumption Model with Transaction Costs (1996)On an Investment-Consumption …Irreversible investment and industry equilibrium (1996)Irreversible investment and i…Singular Optimal Stochastic Controls II: Dynamic programming (1995)Singular Optimal Stochastic C…Singular Optimal Stochastic Controls I: Existence (1995)Singular Optimal Stochastic C…Optimization of the flow of dividends (1995)Optimization of the flow of d…A new approach to the skorohod problem, and its applications (1991)A new approach to the skoroho…Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems (1985)Connections Between Optimal S…Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems (1984)Connections between Optimal S…The monotone follower problem in stochastic decision theory (1981)The monotone follower problem…Some solvable stochastic control problemst† (1980)Some solvable stochastic cont…Controlled Diffusion Processes (1980)Controlled Diffusion ProcessesOptimal dividends with partial information and stopping of a degenerate reflecting diffusion (2020)Optimal dividends with partia…Stochastic nonzero-sum games: a new connection between singular control and optimal stopping (2018)Stochastic nonzero-sum games:…The dividend problem with a finite horizon (2017)The dividend problem with a f…Optimal Boundary Surface for Irreversible Investment with Stochastic Costs (2017)Optimal Boundary Surface for …The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)Irreversibility, Uncertainty, and Investment (1990)Investment under Uncertainty (1994)Investment Under Uncertainty. (1994)Strategic investment under uncertainty: A synthesis (2011)Developing real option game models (2014)Efectos de elementos de diseño del Programa Nacional de Cupos Transables de Emisión (PNCTE) sobre los precios de los cupos y las emisiones agregadas: Un enfoque experimental (2021)A TRANSFORMATION OF THE PHASE SPACE OF A DIFFUSION PROCESS THAT REMOVES THE DRIFT (1974)Continuous Martingales and Brownian Motion (1999)Optimal investment for insurer with jump-diffusion risk process (2005)On the optimal dividend problem for a spectrally negative Lévy process (2007)Fluctuations of Lévy Processes with Applications (2014)On optimal stopping and free boundary problems (1976)Finite-horizon optimal investment with transaction costs: A parabolic double obstacle problem (2008)Stochastic Differential Equations and Applications (1976)Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem (1989)Singular Stochastic Control, Linear Diffusions, and Optimal Stopping: A Class of Solvable Problems (2001)Optimum consumption and portfolio rules in a continuous-time model (1971)Portfolio Selection with Transaction Costs (1990)Asymptotic analysis for optimal investment and consumption with transaction costs (2004)Parametric Portfolio Policies: Exploiting Characteristics in the Cross Section of Equity Returns (2005)Dynamic Portfolio Optimization with Transaction Costs: Heuristics and Dual Bounds (2011)Stochastic Differential Utility (1992)Martingale Methods in Financial Modelling (1997)Arbitrage Theory in Continuous Time (1998)The Distribution of a Perpetuity, with Applications to Risk Theory and Pension Funding (1990)Maximum Likelihood Estimation of Discretely Sampled Diffusions: A Closed-form Approximation Approach (2002)The Statistical and Economic Role of Jumps in Continuous‐Time Interest Rate Models (2004)Instantaneous Control of Brownian Motion (1983)Risk vs. profit potential: A model for corporate strategy (1996)Optimal Portfolio Choice and the Valuation of Illiquid Securities (2001)Discrete-time approximation of decoupled Forward–Backward SDE with jumps (2007)Linear quadratic regulation of systems with stochastic parameter uncertainties (2009)Continuous Time Modeling of Panel Data by means of SEM (2010)
this work references cited by second hop

References

  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1980Controlled Diffusion Processes1,311 cited
  • 2006Stochastic Differential Equations1,269 cited
  • 2002Stochastic Differential Equations446 cited
  • 1995Optimization of the flow of dividends320 cited
  • 1980Some solvable stochastic control problemst†316 cited
  • 1984Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems226 cited
  • 1996On an Investment-Consumption Model with Transaction Costs180 cited
  • 2006A class of singular stochastic control problems145 cited
  • 1996Irreversible investment and industry equilibrium136 cited
  • 1985Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems123 cited
  • 1995Singular Optimal Stochastic Controls I: Existence97 cited
  • 1991A new approach to the skorohod problem, and its applications80 cited
  • 1995Singular Optimal Stochastic Controls II: Dynamic programming78 cited
  • 1981The monotone follower problem in stochastic decision theory74 cited
  • 1998Connections between optimal stopping and singular stochastic control

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

67 cited

Cited by

  • 2018Stochastic nonzero-sum games: a new connection between singular control and optimal stopping33 cited
  • 2017Optimal Boundary Surface for Irreversible Investment with Stochastic Costs32 cited
  • 2017The dividend problem with a finite horizon27 cited
  • 2020Optimal dividends with partial information and stopping of a degenerate reflecting diffusion24 cited