Connections between optimal stopping and singular stochastic control
| Type of Publication: | Journal article |
| Author: | Boetius, Frederik; Kohlmann, Michael |
| Year of publication: | 1998 |
| Published in: | Stochastic Processes and their Applications ; 77 (1998), 2. - pp. 253-281. - ISSN 0304-4149 |
| DOI (citable link): | https://dx.doi.org/10.1016/S0304-4149(98)00049-0 |
| Summary: |
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.
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| Subject (DDC): | 510 Mathematics |
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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. Available under: doi: 10.1016/S0304-4149(98)00049-0
@article{Boetius1998Conne-25849, title={Connections between optimal stopping and singular stochastic control}, year={1998}, doi={10.1016/S0304-4149(98)00049-0}, number={2}, volume={77}, issn={0304-4149}, journal={Stochastic Processes and their Applications}, pages={253--281}, author={Boetius, Frederik and Kohlmann, Michael} }
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