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Lecture 6

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

From  Tiziano Vargiolu 6 plays 0  

Lecture 5

Solution of the problem in terms of value function and optimal policy.

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Lecture 4

A general one-dimensional singular control problem. Verification Theorem and solution.

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Lecture 3

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…

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Lecture 2

Proof of the Verification Theorem.

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Lecture 1

Formulation of the problem with a motivating example. Heuristics for the value function and its link with a variational inequality. Verification theorem.

From  Tiziano Vargiolu 15 plays 0