A Connection between Singular Stochastic Control and Optimal Stopping
Journal Article
·
· Applied Mathematics and Optimization
- Department of Economics and Business Administration, Agder University College, Serviceboks 422, N-4604 Kristiansand (Norway)
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.
- OSTI ID:
- 21064228
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 1 Vol. 49; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
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