Average Optimal Singular Control and a Related Stopping Problem

DOI10.1287/MOOR.10.1.63MaRDI QIDQ3676038zbMATH OpenOpenAlexFDO

Authors Michael Taksar

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

zbMATH Keywords

optimal stoppingstochastic controloptimal policytwo person game

Mathematics Subject Classification ID

Brownian motion (60J65) 2-person games (91A05) Free boundary problems for PDEs (35R35) Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20) Probabilistic games; gambling (91A60)

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Cited in

(27)

• Generic singularities of the optimal averaged profit among stationary strategies
• Dynamic scheduling in manufacturing systems using Brownian approximations
• SKOROKHOD EMBEDDINGS IN BOUNDED TIME
• A note on two-sided stochastic control problems
• Technical Note—On the Optimality of Reflection Control
• Numerical methods for controlled and uncontrolled multiplexing and queueing systems
• Instantaneous control of Brownian motion with a positive lead time
• Diffusion approximation for \(GI/G/1\) controlled queues
• Singular ergodic control for multidimensional Gaussian processes
• From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes
• Optimal spot market inventory strategies in the presence of cost and price risk
• A Singular Stochastic Control Problem with Interconnected Dynamics
• On the singular control of exchange rates
• Stochastic nonzero-sum games: a new connection between singular control and optimal stopping
• Two-Sided Singular Control of an Inventory with Unknown Demand Trend
• Optimal switching between a pair of Brownian motions
• Ergodic control for a mean reverting inventory model
• Brownian inventory models with convex holding cost. I: Average-optimal controls
• Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
• Approximation of stochastic equations driven by predictable processes
• Singular control of the drift of a Brownian system
• Singular stochastic control and optimal stopping
• Optimal correction problem of a multidimensional stochastic system
• Optimal inventory control with jump diffusion and nonlinear dynamics in the demand
• Optimal dynamic portfolio selection for a corporation with controllable risk and dividend distribution policy
• The dividend problem with a finite horizon
• A Method for Computing Double Band Policies for Switching between Two Diffusions

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