The research on singular stochastic control problem with stopping

MaRDI QIDQ3537342zbMATH OpenFDO

Authors Xiangli Liu, Ximing Cheng, Shouyang Wang

Publication date 24 November 2008

zbMATH Keywords

discretionary stoppingoptimal control strategysingular typevariation process

Mathematics Subject Classification ID

Optimal stochastic control (93E20)

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• Stochastic maximum principle for optimal control problem with a stopping time cost functional
• A class of singular stochastic controls with stopping time
• From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes

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