Solving Singular Control from Optimal Switching |
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Authors: | Xin Guo Pascal Tomecek |
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Affiliation: | (1) Department of Industrial Engineering and Operations Research, UC Berkeley, Berkeley, CA 94720-1777, USA;(2) J.P. Morgan, New York, USA |
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Abstract: | This report summarizes some of our recent work (Guo and Tomecek, SIAM J Control Optim 47(1):421–443, 2008; A class of singular control problems and smooth fit principle, 2008) on a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence not only provides a novel method for analyzing multi-dimensional singular control problems, but also builds links among singular controls, Dynkin games, and sequential optimal stopping problems. |
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Keywords: | Singular stochastic control Optimal switching Dynkin’ s game Reversible investment Smooth fit principle |
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