Singular Stochastic Control and Optimal Stopping with Partial Information of Itô-Lévy Processes
نویسندگان
چکیده
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 of optimal stopping problems with finite horizon and partial information.
منابع مشابه
Singular stochastic control and optimal stopping with partial information of jump diffusions
We study partial information, possibly non-Markovian, singular stochastic control of jump diffusions and obtain general maximum principles. The results are used to find connections between singular stochastic control, reflected BSDEs and optimal stopping in the partial information case. Mathematics Subject Classification 2010: 93E20, 60H07, 60H10, 60HXX, 60J75
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عنوان ژورنال:
- SIAM J. Control and Optimization
دوره 50 شماره
صفحات -
تاریخ انتشار 2012