Combined optimal stopping and singular stochastic control
In this paper a simple of combined singular stochastic control and optimal stopping in the jump-diffusion model is formulated and solved. We give sufficient conditions for the existence of an optimal strategy which has the same form as in continuous case given by Davis and Zervos [4] and also Karatz...
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| Zusammenfassung: | In this paper a simple of combined singular stochastic control and optimal stopping in the jump-diffusion model is formulated and solved. We give sufficient conditions for the existence of an optimal strategy which has the same form as in continuous case given by Davis and Zervos [4] and also Karatzas et al. [8]. This result is applied to solve explicitly an example of such problem. |
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