Journal ArticleDOI
Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
TLDR
In this article, the stochastic control problem of tracking a Brownian motion by a non-decreasing process (Monotone Follower) is related to the question of optimal stopping.Abstract:
The stochastic control problem of tracking a Brownian motion by a nondecreasing process (Monotone Follower) is related to a question of Optimal Stopping. Direct probabilistic arguments are employed to show that the two problems are equivalent, and that both admit optimal solutions.read more
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Controlled Markov processes and viscosity solutions
Wendell H. Fleming,H. Mete Soner +1 more
TL;DR: In this paper, an introduction to optimal stochastic control for continuous time Markov processes and to the theory of viscosity solutions is given, as well as a concise introduction to two-controller, zero-sum differential games.
Journal ArticleDOI
Portfolio selection with transaction costs
Mark H. A. Davis,A. R. Norman +1 more
TL;DR: It is shown that the optimal buying and selling policies are the local times of the two-dimensional process of bank and stock holdings at the boundaries of a wedge-shaped region which is determined by the solution of a nonlinear free boundary problem.
Journal ArticleDOI
Dynamic Equilibrium and the Real Exchange Rate in a Spatially Separated World
TL;DR: In this article, two homogeneous stocks of physical capital are located in two different countries, separated by an "ocean." They are consumed by local residents, invested in a random production process yielding real returns, or transferred abroad.
Journal ArticleDOI
Controlled diffusion models for optimal dividend pay-out
Søren Asmussen,Michael I. Taksar +1 more
TL;DR: In this article, the authors consider the case where the reserve of an insurance company is subject to dynamic allocation and the objective is to find the one which maximizes EJ x ( a (·)), where J x = ∫ 0 ∞ e − ct a ( t ) d t is the total (discounted) pay-out of dividend and x refers to r (0) = x.
Journal ArticleDOI
Super contact and related optimality conditions
TL;DR: In this paper, first-order conditions for the choice of the region of no action, and for the type of action to be taken, are established, assuming that the uncontrolled state variable follows a diffusion process.