A connection between singular stochastic control and optimal stopping

DOI10.1007/s00245-003-0778-2zbMath1056.93070OpenAlexW2020337075MaRDI QIDQ1879297

Fred Espen Benth, Kristin Reikvam

Publication date: 22 September 2004

Published in: Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00245-003-0778-2

zbMATH Keywords

optimal stoppingdiffusionssingular stochastic controlviscosity techniques

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25)

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