A singular control problem with discretionary stopping for geometric Brownian motions

DOI10.1137/080734856MaRDI QIDQ3060367zbMATH OpenOpenAlexFDO

Authors Hiroaki Morimoto

Publication date 3 December 2010

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/080734856

zbMATH Keywords

geometric Brownian motionoptimal stoppingsingular stochastic controlvariational inequalityviscosity solutions

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Brownian motion (60J65) Optimal stochastic control (93E20)

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(11)

• A simplified treatment of the theory of optimal regulation of Brownian motion
• A problem of singular stochastic control with discretionary stopping
• Singular control of the drift of a Brownian system
• Dynamic programming principle for classical and singular stochastic control with discretionary stopping
• Finite-Fuel Singular Control With Discretionary Stopping
• A Degenerate Variance Control Problem with Discretionary Stopping
• A Problem of Sequential Entry and Exit Decisions Combined with Discretionary Stopping
• Real options problem with nonsmooth obstacle
• Brownian inventory models with convex holding cost. I: Average-optimal controls
• A nonconvex singular stochastic control problem and its related optimal stopping boundaries
• A detection problem with a monotone observation rate

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