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
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
Journal title :
Stochastic Processes and their Applications