A problem of singular stochastic control with discretionary stopping

DOI10.1214/AOAP/1177005209zbMath0796.93111OpenAlexW2084541012MaRDI QIDQ1327614

Mihail Zervos, Mark H. A. Davis

Publication date: 19 June 1994

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

Full work available at URL: https://doi.org/10.1214/aoap/1177005209

zbMATH Keywords

optimal stoppingsingular stochastic control

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20)

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