Abstract
In this chapter we discuss combined optimal stopping and stochastic control problems and their associated Hamilton–Jacobi–Bellman (HJB) variational inequalities. This is a subject which deserves to be better known because of its many applications. A thorough treatment of such problems (but without the associated HJB variational inequalities) can be found in Krylov [K].
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Øksendal, B., Sulem, A. (2019). Combined Optimal Stopping and Stochastic Control of Jump Diffusions. In: Applied Stochastic Control of Jump Diffusions. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-030-02781-0_7
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DOI: https://doi.org/10.1007/978-3-030-02781-0_7
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Publisher Name: Springer, Cham
Print ISBN: 978-3-030-02779-7
Online ISBN: 978-3-030-02781-0
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