Average Optimal Singular Control and a Related Stopping Problem
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Publication:3676038
DOI10.1287/moor.10.1.63zbMath0562.93083OpenAlexW2132973642MaRDI QIDQ3676038
Publication date: 1985
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/moor.10.1.63
2-person games (91A05) Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Free boundary problems for PDEs (35R35) Probabilistic games; gambling (91A60)
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