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Singular stochastic control and optimal stopping with partial information of Itô--Lévy processes

Listed author(s):
  • Bernt Oksendal


    (CMA - Center of Mathematics for Applications [Oslo] - UiO - University of Oslo)

  • Agnès Sulem


    (MATHFI - Financial mathematics - Inria Paris-Rocquencourt - Inria - Institut National de Recherche en Informatique et en Automatique - École des Ponts ParisTech (ENPC) - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12)

Registered author(s):

    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.

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    Paper provided by HAL in its series Working Papers with number inria-00614279.

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    Date of creation: 10 Aug 2011
    Publication status: Published in [Research Report] RR-7708, INRIA. 2011, pp.41
    Handle: RePEc:hal:wpaper:inria-00614279
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    1. 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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