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.

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Year of publication:	2011-08-10
Authors:	Oksendal, Bernt ; Sulem, Agnès
Institutions:	HAL
Subject:	Singular stochastic control \| maximum principles \| reflected BSDEs \| optimal stopping \| partial information \| Itô-Lévy processes \| jump diffusions

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Extent:	application/pdf
Series:	Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	View the original document on HAL open archive server: http://hal.inria.fr/inria-00614279/en/
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10009220692