Bounded Variation Singular Stochastic Control and Dynkin Game
backward stochastic differential equationcomparison theorem for SDEDynkin gamenonlinear cost functionaloptimal stoppingpathwise constructionsingular stochastic control
Existence of optimal solutions belonging to restricted classes (Lipschitz controls, bang-bang controls, etc.) (49J30) Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Inventory, storage, reservoirs (90B05) Management decision making, including multiple objectives (90B50) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
- scientific article; zbMATH DE number 1642337
- scientific article; zbMATH DE number 2134067
- A multidimensional stochastic singular control problem via Dynkin game and Dirichlet form
- Dynkin Game of Stochastic Differential Equations with Random Coefficients and Associated Backward Stochastic Partial Differential Variational Inequality
- Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions
- On solvability of a two-sided singular control problem
- Singular control of the drift of a Brownian system
- A class of solvable stopping games
- scientific article; zbMATH DE number 1642337 (Why is no real title available?)
- scientific article; zbMATH DE number 2134067 (Why is no real title available?)
- Minimum guaranteed payments and costly cancellation rights: a stopping game perspective
- Game of Singular Stochastic Control and Strategic Exit
- On a Class of Path-Dependent Singular Stochastic Control Problems
- Dynkin Games via Dirichlet Forms and Singular Control of One-Dimensional Diffusions
- Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
- A multidimensional stochastic singular control problem via Dynkin game and Dirichlet form
- Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
- From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes
- A singular stochastic control problem with direction switching cost
- A Dynkin game with independent processes and private information
- Nonzero-sum games of optimal stopping for Markov processes
- Two sided long-time optimization singular control problems for Lévy processes and Dynkin's games
- A stochastic partially reversible investment problem on a finite time-horizon: free-boundary analysis
- Solving singular control from optimal switching
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