科研之友
微信
新浪微博
Facebook
分享链接
摘要
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.
- 出版日期2010
