MPS-RR 1999-10
February 1999

A note on the multi-dimensional monotone follower problem and its connection to optimal stopping

Fred Espen Benth, Kristin Reikvam

Abstract

We generalize a result by Karatzas and Shreve, to the multi-dimensional case. A viscosity solution approach is taken to show that the value function of the multi-dimensional monotone follower problem coincides with the integral of the value function of associated stopping problems. The connection holds under a strong factorization property of the running cost function.

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