Year: 2008
Type: article
Abstract: This paper builds a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence provides a novel method for solving high-dimensional singular control problems and enables us to extend the theory of reversible investment: Sufficient conditions are derived for the existence of optimal controls and for the regularity of value functions. Consequently, our regularity result links singular controls and Dynkin games through sequential optimal stopping problems.
DOI: 10.1137/060669024
Authors: Xin Guo, Pascal Tomecek
Institution: University of California, Berkeley
Language: English
Subfield: Finance
Domain: Social Sciences
Open Access status: green
OpenAlex ID: W1560032085