Singular stochastic control and optimal stopping with partial information of Itô--Lévy processes
AbstractWe 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 BSDEs 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.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by HAL in its series Working Papers with number inria-00614279.
Date of creation: 10 Aug 2011
Date of revision:
Note: View the original document on HAL open archive server: http://hal.inria.fr/inria-00614279/en/
Contact details of provider:
Web page: http://hal.archives-ouvertes.fr/
Singular stochastic control; maximum principles; reflected BSDEs; optimal stopping; partial information; Itô--Lévy processes; jump diffusions;
This paper has been announced in the following NEP Reports:
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Ioannis Karatzas & Fridrik M. Baldursson, 1996. "Irreversible investment and industry equilibrium (*)," Finance and Stochastics, Springer, vol. 1(1), pages 69-89.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (CCSD).
If references are entirely missing, you can add them using this form.