Connections between singular control and optimal switching

SIAM Journal on Control and Optimization

Volumn 47, Issue 1, 2008, Pages 421-443

  Guo, Xin ^a   Tomecek, Pascal ^b  

^a DEPARTMENT OF INDUSTRIAL ENGINEERING AND OPERATIONS RESEARCH   (United States)

^b School of Operations Research and Industrial Engineering   (United States)

Author keywords

Dynkin games; Optimal switching; Reversible investment; Singular stochastic control

Indexed keywords

DYNKIN GAMES; NOVEL METHODS; OPTIMAL CONTROLS; OPTIMAL STOPPING PROBLEMS; OPTIMAL SWITCHING; REVERSIBLE INVESTMENT; REVERSIBLE INVESTMENTS; SINGULAR CONTROL PROBLEMS; SINGULAR CONTROLS; SINGULAR STOCHASTIC CONTROL; SUFFICIENT CONDITIONS; VALUE FUNCTIONS;

GAME THEORY;

PROBLEM SOLVING;

EID: 47849113737     PISSN: 03630129     EISSN: None     Source Type: Journal    
DOI: 10.1137/060669024     Document Type: Article

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