A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
نویسندگان
چکیده
منابع مشابه
A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries
Equivalences are known between problems of singular stochastic control (SSC) with convex performance criteria and related questions of optimal stopping, see for example Karatzas and Shreve [SIAM J. Control Optim. 22 (1984)]. The aim of this paper is to investigate how far connections of this type generalise to a non convex problem of purchasing electricity. Where the classical equivalence break...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2015
ISSN: 0363-0129,1095-7138
DOI: 10.1137/14096801x