Optimal expulsion and optimal confinement of a Brownian particle with a switching cost

DOI10.1016/j.spa.2014.07.016zbMath1417.93334arXiv1211.1595OpenAlexW2016650191MaRDI QIDQ744235

Laura Vinckenbosch, Robert C. Dalang

Publication date: 6 October 2014

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.1595

zbMATH Keywords

principle of smooth fitfree boundary problemsmartingale methodstochastic control with switching cost

Mathematics Subject Classification ID

Brownian motion (60J65) Other game-theoretic models (91A40) Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40)

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