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

DOI10.1137/22M1506705zbMATH Open1516.93276OpenAlexW4381248241MaRDI QIDQ6157892FDOQ6157892

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

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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
• A mixed singular/switching control problem with terminal cost for modulated diffusion processes
• Solving singular control from optimal switching

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