A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
Work
Year: 2015
Type: article
Abstract: Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping; see, for example, Karatzas and Shreve [SIAM J. ... more
Institutions University of Manchester, Bielefeld University
Cites: 37
Cited by: 30
Related to: 10
FWCI: 4.981
Citation percentile (by year/subfield): 96.77
Subfield: Finance
Domain: Social Sciences
Open Access status: green