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Solving Singular Control from Optimal Switching

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Abstract

This report summarizes some of our recent work (Guo and Tomecek, SIAM J Control Optim 47(1):421–443, 2008; A class of singular control problems and smooth fit principle, 2008) on a new theoretical connection between singular control of finite variation and optimal switching problems. This correspondence not only provides a novel method for analyzing multi-dimensional singular control problems, but also builds links among singular controls, Dynkin games, and sequential optimal stopping problems.

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Authors and Affiliations

  1. Department of Industrial Engineering and Operations Research, UC Berkeley, Berkeley, CA, 94720-1777, USA

    Xin Guo

  2. J.P. Morgan, New York, USA

    Pascal Tomecek

Authors
  1. Xin Guo
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  2. Pascal Tomecek
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Correspondence to Xin Guo.

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Guo, X., Tomecek, P. Solving Singular Control from Optimal Switching. Asia-Pac Finan Markets 15, 25–45 (2008). https://doi.org/10.1007/s10690-008-9071-3

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  • DOI: https://doi.org/10.1007/s10690-008-9071-3

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