A singular control problem with discretionary stopping for geometric Brownian motions
DOI10.1137/080734856zbMATH Open1205.93168OpenAlexW2084498026MaRDI QIDQ3060367FDOQ3060367
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
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geometric Brownian motionoptimal stoppingvariational inequalityviscosity solutionssingular stochastic control
Brownian motion (60J65) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)
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