A Connection between Singular Stochastic Control and Optimal Stopping

被引：0

作者：

Fred Espen Benth

Kristin Reikvam

机构：

[1] Centre of Mathematics for Applications,

[2] Department of Mathematics,undefined

[3] University of Oslo,undefined

[4] P.O. Box 1053,undefined

[5] Blindern,undefined

[6] N-0316 Oslo,undefined

[7] Department of Economics and Business Administration,undefined

[8] Agder University College,undefined

[9] Serviceboks 422,undefined

[10] N-4604 Kristiansand,undefined

来源：

Applied Mathematics and Optimization | 2004年 / 49卷

关键词：

Singular stochastic control; Optimal stopping; Variational inequalities; Viscosity solutions;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We show that the value function of a singular stochastic control problem is equal to the integral of the value function of an associated optimal stopping problem. The connection is proved for a general class of diffusions using the method of viscosity solutions.

引用

页码：27 / 41

页数：14

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