Search for tag: "optimal stopping"

End of non-Markovian setting. Two-sided singular control of an inventory with unknown demand trend.

Links between singular stochastic control and optimal stopping problems and games: the one-dimensional Markov setting, and a more general non-Markovian setting.

Links between singular stochastic control and stochastic optimal stopping problems. A general one-dimensional singular control problem. Concepts of resolvent, scale function and speed measure of…