Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems

DOI10.1137/0322054zbMATH Open0551.93078OpenAlexW2079246218MaRDI QIDQ3343901FDOQ3343901

Authors: Ioannis Karatzas, Steven 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

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zbMATH Keywords

singular stochastic controlmonotone follower problem

Mathematics Subject Classification ID

Brownian motion (60J65) Existence of optimal solutions to problems involving randomness (49J55) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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• On a class of non-zero-sum stochastic differential dividend games with regime switching
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• The Maximality Principle in Singular Control with Absorption and Its Applications to the Dividend Problem
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