A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries

Tiziano De Angelis, Giorgio Ferrari, John Moriarty. A Nonconvex Singular Stochastic Control Problem and its Related Optimal Stopping Boundaries. SIAM J. Control and Optimization, 53(3):1199-1223, 2015. [doi]

Authors

Tiziano De Angelis

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Giorgio Ferrari

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John Moriarty

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