Finite-fuel Singular Control with Discretionary Stopping
نویسندگان
چکیده
We discuss the finite-fuel, singular stochastic control problem of optimally tracking the standard Brownian motion x+W (·) started at x ∈ IR, by an adapted process ξ(·) = ξ+(·)−ξ−(·) of bounded total variation ξ̌(t) = ξ+(t) + ξ−(t) ≤ y, ∀ 0 ≤ t < ∞, so as to minimize the total expected discounted cost
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