Singular stochastic control and optimal stopping with partial information of Itô--Lévy processes
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 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.
|Date of creation:||10 Aug 2011|
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|Note:||View the original document on HAL open archive server: http://hal.inria.fr/inria-00614279/en/|
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- Ioannis Karatzas & Fridrik M. Baldursson, 1996. "Irreversible investment and industry equilibrium (*)," Finance and Stochastics, Springer, vol. 1(1), pages 69-89.
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