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
收藏
页码：27 / 41
页数：14
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