Connections between optimal stopping and singular stochastic control

Publikationstyp: Zeitschriftenartikel
Autor/innen: Boetius, Frederik; Kohlmann, Michael
Erscheinungsjahr: 1998
Erschienen in: Stochastic Processes and their Applications ; 77 (1998), 2. - S. 253-281. - ISSN 0304-4149
DOI (zitierfähiger Link): https://dx.doi.org/10.1016/S0304-4149(98)00049-0
Zusammenfassung:
We consider an optimal control problem for an Itô diffusion and a related stopping problem. Their value functions satisfy (d/dx)V=u and an optimal control defines an optimal stopping time. Conversely, we construct an optimal control from optimal stopping times, find a representation of V as an integral of u and describe the optimal state as a reflected process.
Fachgebiet (DDC): 510 Mathematik
Link zur Lizenz: Deposit-Lizenz

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BOETIUS, Frederik, Michael KOHLMANN, 1998. Connections between optimal stopping and singular stochastic control. In: Stochastic Processes and their Applications. 77(2), pp. 253-281. ISSN 0304-4149

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