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Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

MPS-RR 1998-28
November 1998

On a connection between singular stochastic control and optimal stopping


Fred Espen Benth, Kristin Reikvam


We show that the value function of a singular stochastic control problem is equal to the integral of the value function of an associated optimal stopping problem. The relation is proved to hold for a general class of diffusions using the method of viscosity solutions.

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This paper has now been published in Applied Math and Optimization. To appear