Finite-Fuel Singular Control With Discretionary Stopping

DOI10.1080/17442500008834257zbMath0979.93121OpenAlexW1988412344MaRDI QIDQ2706903

Ioannis Karatzas, Hui Wang, Mihail Zervos, Daniel L. Ocone

Publication date: 19 February 2002

Published in: Stochastics and Stochastic Reports (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500008834257

zbMATH Keywords

variational inequalityoptimal stoppingfree-boundary problemgeneralized Itô formulaprinciple of smooth-fitfinite-fuel singular stochastic control

Mathematics Subject Classification ID

Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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• A class of singular stochastic control problems
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