Connections between optimal stopping and singular stochastic control

被引：35

作者：

Boetius, F ^{[1
]}

Kohlmann, M ^{[1
]}

机构：

[1] Univ Konstanz, Fak Math & Informat, D-78434 Constance, Germany

来源：

STOCHASTIC PROCESSES AND THEIR APPLICATIONS | 1998年 / 77卷 / 02期

关键词：

singular control; optimal stopping; impulse control; local times; irreversible investment; options;

D O I：

10.1016/S0304-4149(98)00049-0

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We consider an optimal control problem for an Ito 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, and a representation of V as an integral of u and describe the optimal state as a reflected process. (C) 1998 Elsevier Science B.V. All rights reserved.

引用

页码：253 / 281

页数：29

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