A Problem of Singular Stochastic Control with Optimal Stopping in Finite Horizon

DOI10.1137/110832264zbMath1405.60054OpenAlexW2019095732MaRDI QIDQ3143254

Xiao Shan Chen, Fa-huai Yi

Publication date: 29 November 2012

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

Full work available at URL: https://doi.org/10.1137/110832264

zbMATH Keywords

optimal stoppingfinite horizonfree boundarysingular stochastic controlHJB variational inequality

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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