Abstract

In this paper, we discuss a combined singular control problem with discretionary stopping for geometric Brownian motions. By the method of penalization, we solve the degenerate variational inequality associated with this problem. Its solution v coincides with the value function and, by the concavity of v, an optimal control is shown to exist.

Talk to us

Join us for a 30 min session where you can share your feedback and ask us any queries you have

Schedule a call

Disclaimer: All third-party content on this website/platform is and will remain the property of their respective owners and is provided on "as is" basis without any warranties, express or implied. Use of third-party content does not indicate any affiliation, sponsorship with or endorsement by them. Any references to third-party content is to identify the corresponding services and shall be considered fair use under The CopyrightLaw.