Singular stochastic control and optimal stopping with partial information of jump diffusions
نویسندگان
چکیده
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
منابع مشابه
Singular Stochastic Control and Optimal Stopping with Partial Information of Itô-Lévy Processes
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