• Title of article

    Connections between optimal stopping and singular stochastic control

  • Author/Authors

    Boetius، نويسنده , , Frederik and Kohlmann، نويسنده , , Michael، نويسنده ,

  • Issue Information
    روزنامه با شماره پیاپی سال 1998
  • Pages
    29
  • From page
    253
  • To page
    281
  • Abstract
    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.
  • Keywords
    impulse control , local times , OPTIONS , Irreversible investment , singular control , Optimal stopping
  • Journal title
    Stochastic Processes and their Applications
  • Serial Year
    1998
  • Journal title
    Stochastic Processes and their Applications
  • Record number

    1576321