From the Optimal Singular Stochastic Control to the Optimal Stopping for Regime-Switching Processes

DOI10.1137/22M1506705MaRDI QIDQ6157892zbMATH OpenOpenAlexFDO

Authors Jinghai Shao, Taoran Tian

Publication date 22 June 2023

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/22m1506705

zbMATH Keywords

comparison theoremoptimal stoppingsingular stochastic controlregime-switching processes

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cited in

(4)

• Optimal singular control problem in infinite horizon for stochastic processes with regime-switching
• Connections between Singular Control and Optimal Switching
• Solving singular control from optimal switching
• A mixed singular/switching control problem with terminal cost for modulated diffusion processes

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