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

Bernt Oksendal () and Agnès Sulem ()
Additional contact information
Bernt Oksendal: CMA - Center of Mathematics for Applications [Oslo] - Department of Mathematics [Oslo] - Faculty of Mathematics and Natural Sciences [Oslo] - UiO - University of Oslo
Agnès Sulem: MATHFI - Financial mathematics - Inria Paris-Rocquencourt - Inria - Institut National de Recherche en Informatique et en Automatique - ENPC - École nationale des ponts et chaussées - UPEC UP12 - Université Paris-Est Créteil Val-de-Marne - Paris 12

Working Papers from HAL

Abstract: 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.

Keywords: Singular stochastic control; maximum principles; reflected BSDEs; optimal stopping; partial information; Itô--Lévy processes; jump diffusions (search for similar items in EconPapers)
Date: 2011-08-10
New Economics Papers: this item is included in nep-ore
Note: View the original document on HAL open archive server: https://inria.hal.science/inria-00614279v1
References: View references in EconPapers View complete reference list from CitEc
Citations:

Published in [Research Report] RR-7708, INRIA. 2011, pp.41

Downloads: (external link)
https://inria.hal.science/inria-00614279v1/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:wpaper:inria-00614279

Access Statistics for this paper

More papers in Working Papers from HAL
Bibliographic data for series maintained by CCSD ().