Connections between optimal stopping and singular stochastic control

Frederik Boetius and Michael Kohlmann

Stochastic Processes and their Applications, 1998, vol. 77, issue 2, 253-281

Abstract: 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.

Keywords: Singular; control; Optimal; stopping; Impulse; control; Local; times; Irreversible; investment; Options (search for similar items in EconPapers)
Date: 1998
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Citations: View citations in EconPapers (26)

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