Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
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Publication:3691567
DOI10.1137/0323028zbMath0573.93078OpenAlexW2490762217MaRDI QIDQ3691567
Ioannis Karatzas, Steven E. Shreve
Publication date: 1985
Published in: SIAM Journal on Control and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/0323028
Brownian motion (60J65) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Optimality conditions for problems involving randomness (49K45)
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