CONNECTIONS BETWEEN OPTIMAL STOPPING AND SINGULAR STOCHASTIC-CONTROL

Authors
BOETIUS F KOHLMANN M
Citation
F. Boetius et M. Kohlmann, CONNECTIONS BETWEEN OPTIMAL STOPPING AND SINGULAR STOCHASTIC-CONTROL, Stochastic processes and their applications, 77(2), 1998, pp. 253-281
Citations number
33
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Stochastic processes and their applications → ACNP
ISSN journal
03044149
Volume
77
Issue
2
Year of publication
1998
Pages
253 - 281
Database
ISI
SICI code
0304-4149(1998)77:2<253:CBOSAS>2.0.ZU;2-M
Abstract
We consider an optimal control problem for an Ito diffusion and a rela ted stopping problem. Their value functions satisfy (d/dx)V=u and an o ptimal control defines an optimal stopping time. Conversely, we constr uct an optimal control from optimal stopping times, and a representati on of V as an integral of u and describe the optimal state as a reflec ted process. (C) 1998 Elsevier Science B.V. All rights reserved.