Combined Optimal Stopping and Singular Stochastic Control
نویسندگان
چکیده
منابع مشابه
Singular Stochastic Control and Optimal Stopping with Partial Information of Itô-Lévy Processes
Abstract. We study partial information, possibly non-Markovian, singular stochastic control of Itô–Lévy 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 ...
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ژورنال
عنوان ژورنال: Stochastic Analysis and Applications
سال: 2010
ISSN: 0736-2994,1532-9356
DOI: 10.1080/07362991003708739