[MaPhySto logo]
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

Funded by The Danish National Research Foundation

MPS-RR 1999-10
February 1999

A note on the multi-dimensional monotone follower problem and its connection to optimal stopping


Fred Espen Benth, Kristin Reikvam


We generalize a result by Karatzas and Shreve, to the multi-dimensional case. A viscosity solution approach is taken to show that the value function of the multi-dimensional monotone follower problem coincides with the integral of the value function of associated stopping problems. The connection holds under a strong factorization property of the running cost function.

Availability: [ gzipped ps-file ] [ pdf-file ]

[ Help on down-loading/viewing/printing ]