A Singular Control Problem with Discretionary Stopping for Geometric Brownian Motions
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Publication:3060367
DOI10.1137/080734856zbMath1205.93168MaRDI QIDQ3060367
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
variational inequality; optimal stopping; viscosity solutions; geometric Brownian motion; singular stochastic control
60H10: Stochastic ordinary differential equations (aspects of stochastic analysis)
60J65: Brownian motion
93E20: Optimal stochastic control
60G40: Stopping times; optimal stopping problems; gambling theory
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