Combined Optimal Stopping and Singular Stochastic Control
From MaRDI portal
Publication:3578748
DOI10.1080/07362991003708739zbMath1205.49037OpenAlexW2002031424MaRDI QIDQ3578748
Publication date: 20 July 2010
Published in: Stochastic Analysis and Applications (Search for Journal in Brave)
Full work available at URL: http://urn.nb.no/URN:NBN:no-23606
variational inequalitiesoptimal stoppinglocal timereflecting diffusionsoptimal harvestjump-diffusionsgeneralized Itô formula
Variational and other types of inequalities involving nonlinear operators (general) (47J20) Variational inequalities (49J40) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45)
Cites Work
- Optimal harvesting of stochastically fluctuating populations
- A problem of singular stochastic control with discretionary stopping
- Optimal harvesting from a population in a stochastic crowded environment
- A barrier option of American type
- Finite-Fuel Singular Control With Discretionary Stopping
- On a problem of optimal harvesting from a stochastic system with a jump component
- Optimal harvesting from interacting populations in a stochastic environment
This page was built for publication: Combined Optimal Stopping and Singular Stochastic Control