Combined optimal stopping and singular stochastic control

DOI10.1080/07362991003708739MaRDI QIDQ3578748zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

local timeoptimal stoppingvariational inequalitiesjump-diffusionsreflecting diffusionsoptimal harvestgeneralized Itô formula

Mathematics Subject Classification ID

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)

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Cites work

• A barrier option of American type
• A problem of singular stochastic control with discretionary stopping
• Finite-Fuel Singular Control With Discretionary Stopping
• On a problem of optimal harvesting from a stochastic system with a jump component
• Optimal harvesting from a population in a stochastic crowded environment
• Optimal harvesting from interacting populations in a stochastic environment
• Optimal harvesting of stochastically fluctuating populations

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
• scientific article; zbMATH DE number 1897413 (Why is no real title available?)
• A solvable singular control problem driven by a jump diffusion process with applications
• scientific article; zbMATH DE number 4141940 (Why is no real title available?)
• A problem of singular stochastic control with discretionary stopping

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