×

A problem of singular stochastic control with discretionary stopping. (English) Zbl 0796.93111

Summary: 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 generalized ItĂ´ formula applicable for differences of convex functions.

MSC:

93E20 Optimal stochastic control
60J65 Brownian motion
PDF BibTeX XML Cite
Full Text: DOI