On singular stochastic control and optimal stopping of spectrally negative jump diffusions

DOI10.1080/17442500802215037zbMath1156.93036MaRDI QIDQ3612253

Luis H. R. Alvarez, Teppo A. Rakkolainen

Publication date: 3 March 2009

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442500802215037

zbMATH Keywords

variational inequalities; optimal stopping; singular control; jump diffusion

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

93E20: Optimal stochastic control

60J60: Diffusion processes

Related Items

The relationship between the stochastic maximum principle and the dynamic programming in singular control of jump diffusions

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