A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries

Tiziano De Angelis; Giorgio Ferrari; John Moriarty

doi:10.1137/14096801x

A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries

SIAM Journal on Control and Optimization ◽

10.1137/14096801x ◽

2015 ◽

Vol 53 (3) ◽

pp. 1199-1223 ◽

Cited By ~ 6

Author(s):

Tiziano De Angelis ◽

Giorgio Ferrari ◽

John Moriarty

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control ◽

Stochastic Control Problem

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A Non Convex Singular Stochastic Control Problem and Its Related Optimal Stopping Boundaries

SSRN Electronic Journal ◽

10.2139/ssrn.2435375 ◽

2014 ◽

Cited By ~ 1

Author(s):

Tiziano De Angelis ◽

Giorgio Ferrari ◽

John Moriarty

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Optimal Stopping ◽

Singular Stochastic Control ◽

Stochastic Control Problem

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Regularity of the Value Function for a Two-Dimensional Singular Stochastic Control Problem

SIAM Journal on Control and Optimization ◽

10.1137/0327047 ◽

1989 ◽

Vol 27 (4) ◽

pp. 876-907 ◽

Cited By ~ 66

Author(s):

H. Mete Soner ◽

Shreve E. Shreve

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Value Function ◽

Two Dimensional ◽

Singular Stochastic Control ◽

Stochastic Control Problem ◽

The Value Function

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Expected Supremum Representation of the Value of a Singular Stochastic Control Problem

SIAM Journal on Control and Optimization ◽

10.1137/15m1034957 ◽

2017 ◽

Vol 55 (6) ◽

pp. 3908-3927 ◽

Cited By ~ 1

Author(s):

Luis H. R. Alvarez ◽

Pekka Matomäki

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Singular Stochastic Control ◽

Stochastic Control Problem

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On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment

SSRN Electronic Journal ◽

10.2139/ssrn.2458910 ◽

2014 ◽

Author(s):

Tiziano De Angelis ◽

Salvatore Federico ◽

Giorgio Ferrari

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Three Dimensional ◽

Singular Stochastic Control ◽

Irreversible Investment ◽

Optimal Boundary ◽

Stochastic Control Problem

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A Singular Stochastic Control Problem with Interconnected Dynamics

SIAM Journal on Control and Optimization ◽

10.1137/19m1296288 ◽

2020 ◽

Vol 58 (5) ◽

pp. 2821-2853

Author(s):

Salvatore Federico ◽

Giorgio Ferrari ◽

Patrick Schuhmann

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Singular Stochastic Control ◽

Stochastic Control Problem

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On the existence of optimal controls for a singular stochastic control problem in finance

Mathematical Finance ◽

10.1007/978-3-0348-8291-0_7 ◽

2001 ◽

pp. 79-88 ◽

Cited By ~ 1

Author(s):

Fred E. Benth ◽

Kenneth H. Karlsen ◽

Kristin Reikvam

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Optimal Controls ◽

Singular Stochastic Control ◽

Existence Of Optimal Controls ◽

Stochastic Control Problem

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Control of inflation: a singular stochastic control problem

Proceedings of the 36th IEEE Conference on Decision and Control ◽

10.1109/cdc.1997.657833 ◽

2002 ◽

Author(s):

M.B. Chiarolla ◽

B. Han ◽

U.G. Haussmann

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Singular Stochastic Control ◽

Stochastic Control Problem

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Characterization of the Optimal Policy for a Multidimensional Parabolic Singular Stochastic Control Problem

SIAM Journal on Control and Optimization ◽

10.1137/15m1051889 ◽

2016 ◽

Vol 54 (3) ◽

pp. 1657-1677

Author(s):

Marcin Boryc ◽

Łukasz Kruk

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Optimal Policy ◽

Singular Stochastic Control ◽

Stochastic Control Problem

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A constrained non-linear regular-singular stochastic control problem, with applications

Stochastic Processes and their Applications ◽

10.1016/j.spa.2003.09.008 ◽

2004 ◽

Vol 109 (2) ◽

pp. 167-187 ◽

Cited By ~ 22

Author(s):

Xin Guo ◽

Jun Liu ◽

Xun Yu Zhou

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Singular Stochastic Control ◽

Stochastic Control Problem ◽

Non Linear

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A singular stochastic control problem

On Stochastic Optimization Problems and an Application in Finance - BestMasters ◽

10.1007/978-3-658-25691-3_2 ◽

2019 ◽

pp. 35-51

Author(s):

Josef Anton Strini

Keyword(s):

Control Problem ◽

Stochastic Control ◽

Singular Stochastic Control ◽

Stochastic Control Problem

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