SINGULAR STOCHASTIC CONTROL AND OPTIMAL STOPPING WITH PARTIAL INFORMATION OF ITO-LEVY PROCESSES

被引：24

作者：

Oksendal, Bernt ^{[1
]}

Sulem, Agnes ^{[2
]}

机构：

[1] Univ Oslo, Dept Math, Ctr Math Applicat, N-0316 Oslo, Norway

[2] INRIA Paris Rocquencourt, Domaine Voluceau, F-78153 Le Chesnay, France

来源：

SIAM JOURNAL ON CONTROL AND OPTIMIZATION | 2012年 / 50卷 / 04期

基金：

欧洲研究理事会;

关键词：

singular stochastic control; maximum principles; reflected BSDEs; optimal stopping; partial information; Ito-Levy processes; jump diffusions; MAXIMUM PRINCIPLE; DIFFERENTIAL-EQUATIONS; CONNECTIONS;

D O I：

10.1137/100793931

中图分类号：

TP [自动化技术、计算机技术];

学科分类号：

0812 ;

摘要：

We study partial information, possibly non-Markovian, singular stochastic control of Ito-Levy processes and obtain general maximum principles. The results are used to find connections between singular stochastic control, reflected backward stochastic differential equations, and optimal stopping in the partial information case. As an application we give an explicit solution to a class of optimal stopping problems with finite horizon and partial information.

引用

页码：2254 / 2287

页数：34

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