Connections between optimal stopping and singular stochastic control

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.

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Year of publication:	1998
Authors:	Boetius, Frederik ; Kohlmann, Michael
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 77.1998, 2, p. 253-281
Publisher:	Elsevier
Keywords:	Singular control Optimal stopping Impulse control Local times Irreversible investment Options

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008875000