Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
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Publication:3343901
DOI10.1137/0322054zbMath0551.93078OpenAlexW2079246218MaRDI QIDQ3343901
Ioannis Karatzas, Steven E. Shreve
Publication date: 1984
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0322054
Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Existence of optimal solutions to problems involving randomness (49J55)
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