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

DOI10.1137/22m1506705zbMath1516.93276OpenAlexW4381248241MaRDI QIDQ6157892

Taoran Tian, Jing Hai Shao

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

optimal stoppingcomparison theoremsingular stochastic controlregime-switching processes

Mathematics Subject Classification ID

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

Related Items

A mixed singular/switching control problem with terminal cost for modulated diffusion processes

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