Optimal stopping and free boundary characterizations for some Brownian control problems
نویسندگان
چکیده
منابع مشابه
Optimal Stopping and Free Boundary Characterizations for some Brownian Control
A singular stochastic control problem with state constraints in two-dimensions is studied. We show that the value function is C and its directional derivatives are the value functions of certain optimal stopping problems. Guided by the optimal stopping problem we then introduce the associated no-action region and the free boundary and show that, under appropriate conditions, an optimally contro...
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ژورنال
عنوان ژورنال: The Annals of Applied Probability
سال: 2008
ISSN: 1050-5164
DOI: 10.1214/08-aap525