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Connections between optimal stopping and singular stochastic control

Citations

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Cited by:

  1. Giorgio Ferrari, 2012. "On an integral equation for the free-boundary of stochastic, irreversible investment problems," Papers 1211.0412, arXiv.org, revised Jan 2015.
  2. Kohlmann, Michael, 1999. "(Reflected) Backward Stochastic Differential Equations and Contingent Claims," CoFE Discussion Papers 99/10, University of Konstanz, Center of Finance and Econometrics (CoFE).
  3. Dianetti, Jodi & Ferrari, Giorgio, 2021. "Multidimensional Singular Control and Related Skorokhod Problem: Suficient Conditions for the Characterization of Optimal Controls," Center for Mathematical Economics Working Papers 645, Center for Mathematical Economics, Bielefeld University.
  4. Tiziano Angelis, 2020. "Optimal dividends with partial information and stopping of a degenerate reflecting diffusion," Finance and Stochastics, Springer, vol. 24(1), pages 71-123, January.
  5. de Angelis, Tiziano & Ferrari, Giorgio, 2014. "A Stochastic Reversible Investment Problem on a Finite-Time Horizon: Free Boundary Analysis," Center for Mathematical Economics Working Papers 477, Center for Mathematical Economics, Bielefeld University.
  6. Dianetti, Jodi & Ferrari, Giorgio, 2023. "Multidimensional singular control and related Skorokhod problem: Sufficient conditions for the characterization of optimal controls," Stochastic Processes and their Applications, Elsevier, vol. 162(C), pages 547-592.
  7. Maria B. Chiarolla & Giorgio Ferrari & Frank Riedel, 2012. "Generalized Kuhn-Tucker Conditions for N-Firm Stochastic Irreversible Investment under Limited Resources," Papers 1203.3757, arXiv.org, revised Aug 2013.
  8. Tiziano De Angelis & Salvatore Federico & Giorgio Ferrari, 2014. "Optimal Boundary Surface for Irreversible Investment with Stochastic Costs," Papers 1406.4297, arXiv.org, revised Jan 2017.
  9. Dianetti, Jodi & Ferrari, Giorgio, 2019. "Nonzero-Sum Submodular Monotone-Follower Games. Existence and Approximation of Nash Equilibria," Center for Mathematical Economics Working Papers 605, Center for Mathematical Economics, Bielefeld University.
  10. Joachim Gahungu and Yves Smeers, 2012. "A Real Options Model for Electricity Capacity Expansion," RSCAS Working Papers 2012/08, European University Institute.
  11. Bernt Oksendal & Agnès Sulem, 2011. "Singular stochastic control and optimal stopping with partial information of Itô--Lévy processes," Working Papers inria-00614279, HAL.
  12. Tiziano De Angelis & Erik Ekstrom, 2016. "The dividend problem with a finite horizon," Papers 1609.01655, arXiv.org, revised Nov 2017.
  13. René Carmona & Savas Dayanik, 2008. "Optimal Multiple Stopping of Linear Diffusions," Mathematics of Operations Research, INFORMS, vol. 33(2), pages 446-460, May.
  14. Romuald Elie & Ludovic Moreau & Dylan Possamai, 2017. "On a class of path-dependent singular stochastic control problems," Papers 1701.08861, arXiv.org, revised Feb 2018.
  15. Jodi Dianetti & Giorgio Ferrari & Renyuan Xu, 2024. "Exploratory Optimal Stopping: A Singular Control Formulation," Papers 2408.09335, arXiv.org, revised Oct 2024.
  16. de Angelis, Tiziano & Federico, Salvatore & Ferrari, Giorgio, 2016. "On the Optimal Boundary of a Three-Dimensional Singular Stochastic Control Problem Arising in Irreversible Investment," Center for Mathematical Economics Working Papers 509, Center for Mathematical Economics, Bielefeld University.
  17. GAHUNGU, Joachim & SMEERS, Yves, 2011. "A real options model for electricity capacity expansion," LIDAM Discussion Papers CORE 2011044, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
  18. Savas Dayanik, 2008. "Optimal Stopping of Linear Diffusions with Random Discounting," Mathematics of Operations Research, INFORMS, vol. 33(3), pages 645-661, August.
  19. Tiziano De Angelis, 2018. "Optimal dividends with partial information and stopping of a degenerate reflecting diffusion," Papers 1805.12035, arXiv.org, revised Mar 2019.
  20. Perkkiö, Ari-Pekka & Treviño-Aguilar, Erick, 2025. "Convex integral functionals of càdlàg processes," Stochastic Processes and their Applications, Elsevier, vol. 181(C).
  21. Maria B. Chiarolla & Ulrich G. Haussmann, 2005. "Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold," Mathematics of Operations Research, INFORMS, vol. 30(1), pages 91-108, February.
  22. De Angelis, Tiziano & Ferrari, Giorgio, 2014. "A stochastic partially reversible investment problem on a finite time-horizon: Free-boundary analysis," Stochastic Processes and their Applications, Elsevier, vol. 124(12), pages 4080-4119.
  23. Bovo, Andrea & De Angelis, Tiziano, 2025. "On the saddle point of a zero-sum stopper vs. singular-controller game," Stochastic Processes and their Applications, Elsevier, vol. 182(C).
  24. Tiziano De Angelis & Salvatore Federico & Giorgio Ferrari, 2017. "Optimal Boundary Surface for Irreversible Investment with Stochastic Costs," Mathematics of Operations Research, INFORMS, vol. 42(4), pages 1135-1161, November.
  25. de Angelis, Tiziano & Ferrari, Giorgio, 2016. "Stochastic nonzero-sum games: a new connection between singular control and optimal stopping," Center for Mathematical Economics Working Papers 565, Center for Mathematical Economics, Bielefeld University.
  26. Xin Guo & Pascal Tomecek, 2008. "Solving Singular Control from Optimal Switching," Asia-Pacific Financial Markets, Springer;Japanese Association of Financial Economics and Engineering, vol. 15(1), pages 25-45, March.
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