A PROBLEM OF SINGULAR STOCHASTIC CONTROL WITH DISCRETIONARY STOPPING
成果类型：
Article
署名作者：
Davis, M. H. A.; Zervos, M.
署名单位：
Imperial College London
刊物名称：
ANNALS OF APPLIED PROBABILITY
ISSN/ISSBN：
1050-5164
DOI：
10.1214/aoap/1177005209
发表日期：
1994
页码：
226-240
关键词：
摘要：
In this paper a simple problem of combined singular stochastic control and optimal stopping is formulated and solved. We find that the optimal strategies can take qualitatively different forms, depending on parameter values. We also study a variant on the problem in which the value function is inherently nonconvex. The proofs employ the generalised Ito formula applicable for differences of convex functions.