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|
|Date of revision:|
|Publication status:||Published in [Research Report] RR-7708, INRIA. 2011, pp.41|
|Note:||View the original document on HAL open archive server: https://hal.inria.fr/inria-00614279|
|Contact details of provider:|| Web page: https://hal.archives-ouvertes.fr/|
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.
When requesting a correction, please mention this item's handle: RePEc:hal:wpaper:inria-00614279. See general information about how to correct material in RePEc.
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.