Combined optimal stopping and singular stochastic control
DOI10.1080/07362991003708739zbMATH Open1205.49037OpenAlexW2002031424MaRDI QIDQ3578748FDOQ3578748
Authors: Ta Thi Kieu An 
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
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local timeoptimal stoppingvariational inequalitiesjump-diffusionsreflecting diffusionsoptimal harvestgeneralized Itô formula
Variational and other types of inequalities involving nonlinear operators (general) (47J20) Variational inequalities (49J40) Optimality conditions for problems involving randomness (49K45) Optimal stochastic control (93E20)
Cites Work
- Optimal harvesting of stochastically fluctuating populations
- Optimal harvesting from a population in a stochastic crowded environment
- Optimal harvesting from interacting populations in a stochastic environment
- Finite-Fuel Singular Control With Discretionary Stopping
- A barrier option of American type
- A problem of singular stochastic control with discretionary stopping
- On a problem of optimal harvesting from a stochastic system with a jump component
Cited In (6)
- An explicit solution for an optimal stopping/optimal control problem which models an asset sale
- On singular stochastic control and optimal stopping of spectrally negative jump diffusions
- Title not available (Why is that?)
- A solvable singular control problem driven by a jump diffusion process with applications
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- A problem of singular stochastic control with discretionary stopping
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