Solving Singular Control from Optimal Switching
نویسندگان
چکیده
This report summarizes some of our recent work (Guo and Tomecek (2008b,a)) on a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence not only provides a novel method for analyzing multi-dimensional singular control problems, but also builds links among singular controls, Dynkin games, and sequential optimal stopping problems.
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تاریخ انتشار 2008