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inria-00614279, version 1

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

Bernt Oksendal () a, 1, Agnès Sulem () b, 2

N° RR-7708 (2011)

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.

  • a –  University of Oslo
  • b –  INRIA
  • 1:  Center of Mathematics for Applications [Oslo] (CMA)
  • University of Oslo
  • 2:  MATHFI (INRIA Rocquencourt)
  • INRIA – Ecole des Ponts ParisTech – Université Paris-Est Créteil Val-de-Marne (UPEC)
  • Domain : Quantitative Finance/Computational Finance
  • Keywords : Singular stochastic control – maximum principles – reflected BSDEs – optimal stopping – partial information – Itô--Lévy processes – jump diffusions
  • Internal note : RR-7708
 
  • inria-00614279, version 1
  • http://hal.inria.fr/inria-00614279
  • oai:hal.inria.fr:inria-00614279
  • From: Martine Verneuille <>
  • Submitted on: Wednesday, 10 August 2011 15:22:39
  • Updated on: Thursday, 11 August 2011 14:38:42