Search for tag: "variational inequality"

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

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

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

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…

Proof of the Verification Theorem.

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