Combined Optimal Stopping and Singular Stochastic Control

DOI10.1080/07362991003708739zbMath1205.49037OpenAlexW2002031424MaRDI QIDQ3578748

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

variational inequalitiesoptimal stoppinglocal timereflecting diffusionsoptimal harvestjump-diffusionsgeneralized Itô formula

Mathematics Subject Classification ID

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

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