A connection between singular stochastic control and optimal stopping (Q1879297)
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scientific article; zbMATH DE number 2102076
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A connection between singular stochastic control and optimal stopping |
scientific article; zbMATH DE number 2102076 |
Statements
A connection between singular stochastic control and optimal stopping (English)
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22 September 2004
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Using viscosity techniques, the classical relation between singular stochastic control and optimal stopping is extended to a class of general diffusions.
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singular stochastic control
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optimal stopping
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viscosity techniques
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diffusions
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