A connection between singular stochastic control and optimal stopping
type: Item
instance of: scholarly article
title: A connection between singular stochastic control and optimal stopping
zbMATH Open document ID: 1056.93070
author: Fred Espen Benth
author: Kristin Reikvam
published in: Applied Mathematics and Optimization
publication date: 2004-09-22T00:00:00Z
review text: Using viscosity techniques, the classical relation between singular stochastic control and optimal stopping is extended to a class of general diffusions.
reviewed by: Michael Kohlmann
Mathematics Subject Classification ID: 93E20
Mathematics Subject Classification ID: 60G40
Mathematics Subject Classification ID: 49L25
Mathematics Subject Classification ID: 60J60
zbMATH DE Number: 2102076
zbMATH Keywords: singular stochastic control
zbMATH Keywords: optimal stopping
zbMATH Keywords: viscosity techniques
zbMATH Keywords: diffusions
MaRDI profile type: Publication
full work available at URL: s00245-003-0778-2
OpenAlex ID: W2020337075
DOI: 10.1007/S00245-003-0778-2
description: scientific article; zbMATH DE number 2102076