Connections between optimal stopping and singular stochastic control (Q1807267)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Connections between optimal stopping and singular stochastic control |
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Connections between optimal stopping and singular stochastic control (English)
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18 November 1999
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Earlier results on the connection between stochastic optimal control problem and a related stopping problem are extended to a more general case when the controlled process is an Itô diffusion. Some properties of the optimal state process in the control problem are shown and the relation with the value function is established. Some applications in the theory of irreversible investment are suggested.
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singular control
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impulse control
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optimal stopping
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Itô diffusion
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irreversible investment
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