Problems of singular stochastic control with stopping, drift and diffusion

MaRDI QIDQ3016517zbMATH OpenFDO

Authors Yang Yu, Qiuyuan Wang, Shengbian Zhao

Publication date 19 July 2011

zbMATH Keywords

diffusiondriftsingular controlstochastic controlstopping time

Mathematics Subject Classification ID

Existence of optimal solutions to problems involving randomness (49J55) Optimal stochastic control (93E20)

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Cited in

(27)

• A problem of singular stochastic control with discretionary stopping
• Singular stochastic control in the presence of a state-dependent yield structure
• A class of discounted models for singular diffusion control
• On sufficient and necessary of existence for a class of singular optimal stochastic control
• Connections between optimal stopping and singular stochastic control
• Singular control of stochastic linear systems with recursive utility
• Singular stochastic control, linear diffusions, and optimal stopping: A class of solvable problems
• A singular control problem with discretionary stopping for geometric Brownian motions
• A problem of singular stochastic control with optimal stopping in finite horizon
• scientific article; zbMATH DE number 4158536 (Why is no real title available?)
• The research on singular stochastic control problem with stopping
• A class of extended singular stochastic models with stopping time
• Combined optimal stopping and singular stochastic control
• On the Principle of Smooth Fit for a Class of Singular Stochastic Control Problems for Diffusions
• scientific article; zbMATH DE number 2064421 (Why is no real title available?)
• scientific article; zbMATH DE number 2069455 (Why is no real title available?)
• scientific article; zbMATH DE number 1500192 (Why is no real title available?)
• Singular control optimal stopping of memory mean-field processes
• Singular Stochastic Control Problems
• Une classe nouvelle de problèmes singuliers de contrôle stochastique
• Optimal stopping, randomized stopping, and singular control with general information flow
• A nonconvex singular stochastic control problem and its related optimal stopping boundaries
• A class of singular stochastic controls with stopping time
• Optimal singular stochastic control problem with pay-off and complementary functions
• On the nonsymmetric stationary models of singular stochastic control for diffusions
• Multidimensional singular control and related Skorokhod problem: sufficient conditions for the characterization of optimal controls
• A singular stochastic control problem with direction switching cost

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