{"id":"https://openalex.org/W2084498026","doi":"https://doi.org/10.1137/080734856","title":"A Singular Control Problem with Discretionary Stopping for Geometric Brownian Motions","display_name":"A Singular Control Problem with Discretionary Stopping for Geometric Brownian Motions","publication_year":2010,"publication_date":"2010-01-01","ids":{"openalex":"https://openalex.org/W2084498026","doi":"https://doi.org/10.1137/080734856","mag":"2084498026"},"language":"en","primary_location":{"id":"doi:10.1137/080734856","is_oa":false,"landing_page_url":"https://doi.org/10.1137/080734856","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":false,"oa_status":"closed","oa_url":null,"any_repository_has_fulltext":false},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5109192082","display_name":"Hiroaki Morimoto","orcid":null},"institutions":[],"countries":[],"is_corresponding":true,"raw_author_name":"Hiroaki Morimoto","raw_affiliation_strings":["morimoto@mserv.sci.ehime-u.ac.jp#TAB#"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"morimoto@mserv.sci.ehime-u.ac.jp#TAB#","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":0,"corresponding_author_ids":["https://openalex.org/A5109192082"],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":2.4299,"has_fulltext":false,"cited_by_count":15,"citation_normalized_percentile":{"value":0.90038206,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":89,"max":97},"biblio":{"volume":"48","issue":"6","first_page":"3781","last_page":"3804"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9991999864578247,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10545","display_name":"Optimization and Variational Analysis","score":0.9872999787330627,"subfield":{"id":"https://openalex.org/subfields/1703","display_name":"Computational Theory and Mathematics"},"field":{"id":"https://openalex.org/fields/17","display_name":"Computer Science"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T10194","display_name":"Nonlinear Partial Differential Equations","score":0.9828000068664551,"subfield":{"id":"https://openalex.org/subfields/2604","display_name":"Applied Mathematics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.8454664349555969},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.8069343566894531},{"id":"https://openalex.org/keywords/degenerate-energy-levels","display_name":"Degenerate energy levels","score":0.7090634107589722},{"id":"https://openalex.org/keywords/bellman-equation","display_name":"Bellman equation","score":0.6739664077758789},{"id":"https://openalex.org/keywords/variational-inequality","display_name":"Variational inequality","score":0.6662938594818115},{"id":"https://openalex.org/keywords/geometric-brownian-motion","display_name":"Geometric Brownian motion","score":0.6519789695739746},{"id":"https://openalex.org/keywords/singular-control","display_name":"Singular control","score":0.6421627402305603},{"id":"https://openalex.org/keywords/brownian-motion","display_name":"Brownian motion","score":0.6238259077072144},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.6199749708175659},{"id":"https://openalex.org/keywords/stopping-time","display_name":"Stopping time","score":0.47961294651031494},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.4598925709724426},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.43069398403167725},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.4152992069721222},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.4150041937828064},{"id":"https://openalex.org/keywords/value","display_name":"Value (mathematics)","score":0.4120243191719055},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.39023324847221375},{"id":"https://openalex.org/keywords/diffusion-process","display_name":"Diffusion process","score":0.19963482022285461},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.10321003198623657}],"concepts":[{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.8454664349555969},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8069343566894531},{"id":"https://openalex.org/C72319582","wikidata":"https://www.wikidata.org/wiki/Q584304","display_name":"Degenerate energy levels","level":2,"score":0.7090634107589722},{"id":"https://openalex.org/C14646407","wikidata":"https://www.wikidata.org/wiki/Q1430750","display_name":"Bellman equation","level":2,"score":0.6739664077758789},{"id":"https://openalex.org/C161999928","wikidata":"https://www.wikidata.org/wiki/Q4556320","display_name":"Variational inequality","level":2,"score":0.6662938594818115},{"id":"https://openalex.org/C101615488","wikidata":"https://www.wikidata.org/wiki/Q1503307","display_name":"Geometric Brownian motion","level":4,"score":0.6519789695739746},{"id":"https://openalex.org/C2777984672","wikidata":"https://www.wikidata.org/wiki/Q7524238","display_name":"Singular control","level":3,"score":0.6421627402305603},{"id":"https://openalex.org/C112401455","wikidata":"https://www.wikidata.org/wiki/Q178036","display_name":"Brownian motion","level":2,"score":0.6238259077072144},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.6199749708175659},{"id":"https://openalex.org/C99888217","wikidata":"https://www.wikidata.org/wiki/Q1288707","display_name":"Stopping time","level":2,"score":0.47961294651031494},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.4598925709724426},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.43069398403167725},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.4152992069721222},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.4150041937828064},{"id":"https://openalex.org/C2776291640","wikidata":"https://www.wikidata.org/wiki/Q2912517","display_name":"Value (mathematics)","level":2,"score":0.4120243191719055},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.39023324847221375},{"id":"https://openalex.org/C68710425","wikidata":"https://www.wikidata.org/wiki/Q5275442","display_name":"Diffusion process","level":3,"score":0.19963482022285461},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.10321003198623657},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C56739046","wikidata":"https://www.wikidata.org/wiki/Q192060","display_name":"Knowledge management","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.0},{"id":"https://openalex.org/C3017618536","wikidata":"https://www.wikidata.org/wiki/Q304994","display_name":"Innovation diffusion","level":2,"score":0.0}],"mesh":[],"locations_count":1,"locations":[{"id":"doi:10.1137/080734856","is_oa":false,"landing_page_url":"https://doi.org/10.1137/080734856","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"}],"best_oa_location":null,"sustainable_development_goals":[{"display_name":"Reduced inequalities","score":0.5400000214576721,"id":"https://metadata.un.org/sdg/10"}],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":12,"referenced_works":["https://openalex.org/W160859816","https://openalex.org/W1970030120","https://openalex.org/W1974932729","https://openalex.org/W1988412344","https://openalex.org/W2032316144","https://openalex.org/W2046580048","https://openalex.org/W2058819565","https://openalex.org/W2077092908","https://openalex.org/W2084541012","https://openalex.org/W2112196420","https://openalex.org/W2315337920","https://openalex.org/W4241376405"],"related_works":["https://openalex.org/W3125000247","https://openalex.org/W3124398637","https://openalex.org/W1488326122","https://openalex.org/W2155643822","https://openalex.org/W4224253485","https://openalex.org/W4300129010","https://openalex.org/W2388423988","https://openalex.org/W2060950178","https://openalex.org/W2379449944","https://openalex.org/W3126114984"],"abstract_inverted_index":{"In":[0],"this":[1,30],"paper,":[2],"we":[3,22],"discuss":[4],"a":[5],"combined":[6],"singular":[7],"control":[8,48],"problem":[9],"with":[10,29,36],"discretionary":[11],"stopping":[12],"for":[13],"geometric":[14],"Brownian":[15],"motions.":[16],"By":[17],"the":[18,24,37,42],"method":[19],"of":[20,44],"penalization,":[21],"solve":[23],"degenerate":[25],"variational":[26],"inequality":[27],"associated":[28],"problem.":[31],"Its":[32],"solution":[33],"v":[34],"coincides":[35],"value":[38],"function":[39],"and,":[40],"by":[41],"concavity":[43],"v,":[45],"an":[46],"optimal":[47],"is":[49],"shown":[50],"to":[51],"exist.":[52]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":1},{"year":2021,"cited_by_count":1},{"year":2015,"cited_by_count":1},{"year":2014,"cited_by_count":1},{"year":2013,"cited_by_count":2},{"year":2012,"cited_by_count":3}],"updated_date":"2026-08-11T07:18:39.950985","created_date":"2025-10-10T00:00:00"}
