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A Connection between Singular Stochastic Control and Optimal Stopping |
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| Authors: | Fred Espen Benth and Kristin Reikvam |
| Institution: | (1) Centre of Mathematics for Applications, Department of Mathematics, University of Oslo, P.O. Box 1053, Blindern, N-0316 Oslo, Norway;(2) Department of Economics and Business Administration, Agder University College, Serviceboks 422, N-4604 Kristiansand, Norway |
| Abstract: | 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 connection is proved for a general class of diffusions using the method of viscosity solutions. |
| Keywords: | Singular stochastic control Optimal stopping Variational inequalities Viscosity solutions |
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