一类奇异型随机控制问题的推广

Generalization of a Class of Singular Stochastic Control Problem

推广了一类带停时的奇异型随机控制问题 ,证明了最佳控制策略的存在 。

In this paper, we generalize a problem of singular stochastic control with stopping, and prove the existance of the optimal control. We find that the optimal strategies can be taken in different structure forms, depending on parameter values.