| dc.date.accessioned | 2013-03-12T08:19:28Z | |
| dc.date.available | 2013-03-12T08:19:28Z | |
| dc.date.issued | 2010 | en_US |
| dc.date.submitted | 2011-07-06 | en_US |
| dc.identifier.uri | http://hdl.handle.net/10852/10257 | |
| dc.description.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.
Revised edition 5 July 2012. | eng |
| dc.language.iso | eng | en_US |
| dc.publisher | Matematisk Institutt, Universitetet i Oslo | |
| dc.relation.ispartof | Preprint series. Pure mathematics http://urn.nb.no/URN:NBN:no-8076 | en_US |
| dc.relation.uri | http://urn.nb.no/URN:NBN:no-8076 | |
| dc.rights | © The Author(s) (2010). This material is protected by copyright law. Without explicit authorisation, reproduction is only allowed in so far as it is permitted by law or by agreement with a collecting society. | |
| dc.title | Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes | en_US |
| dc.type | Research report | en_US |
| dc.date.updated | 2012-07-18 | en_US |
| dc.rights.holder | Copyright 2010 The Author(s) | |
| dc.creator.author | Øksendal, Bernt | en_US |
| dc.creator.author | Sulem, Agnès | en_US |
| dc.subject.nsi | VDP::410 | en_US |
| dc.identifier.cristin | 826334 | en_US |
| dc.identifier.urn | URN:NBN:no-28930 | en_US |
| dc.type.document | Forskningsrapport | en_US |
| dc.identifier.duo | 131971 | en_US |
| dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/10257/1/rev-ed-pm09-10.pdf | |