MPS-RR 1998-28
November 1998

On a connection between singular stochastic control and optimal stopping

by:

Fred Espen Benth, Kristin Reikvam

Abstract

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 relation is proved to hold for a general class of diffusions using the method of viscosity solutions.

Availability: [ gzipped ps-file ] [ pdf-file ]

[ Help on down-loading/viewing/printing ]

This paper has now been published in Applied Math and Optimization. To appear