Singular stochastic control, linear diffusions, and optimal stopping: A class of solvable problems

SIAM Journal on Control and Optimization

Volumn 39, Issue 6, 2001, Pages 1697-1710

  Alvarez, L H R ^a  

^a UNIVERSITY OF TURKU   (Finland)

Author keywords

Cash flow management; Harvesting; Linear diffusions; Optimal stopping; Singular stochastic control

Indexed keywords

FUNCTIONS; MARKOV PROCESSES; PROBLEM SOLVING; SET THEORY;

LINEAR DIFFUSIONS;

STOCHASTIC CONTROL SYSTEMS;

EID: 0035659919     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/S0363012900367825     Document Type: Article

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