This idea is employed to show that direct integration of the optimal risk in a stopping problem for Brownian motion, yields the value function of the so-called monotone follower stochastic control problem and provides an explicit construction of its optimal process. Ideas from the theory of balayage for continuous semimartingales are employed, in order to find novel and useful representations for the value functions of these problems.
No takes yet. Share an insight, caveat, or question.
Karoui et al. (1991) studied this question.
Synapse has enriched 5 related papers. Consider them for comparative context: