dc.date.accessioned | 2014-12-12T13:32:21Z | |
dc.date.available | 2014-12-12T13:32:21Z | |
dc.date.created | 2014-01-21T13:50:43Z | |
dc.date.issued | 2014 | |
dc.identifier.citation | Øksendal, Bernt Sulem, Agnès Zhang, Tusheng . Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection. Mathematics of Operations Research. 2014, 39(2), 464-486 | |
dc.identifier.uri | http://hdl.handle.net/10852/41721 | |
dc.description.abstract | We consider general singular control problems for random fields given by a stochastic partial differential equation (SPDE). We show that under some conditions the optimal singular control can be identified with the solution of a coupled system of SPDE and a reflected backward SPDE (RBSPDE). As an illustration we apply the result to a singular optimal harvesting problem from a population whose density is modeled as a stochastic reaction-diffusion equation. Existence and uniqueness of solutions of RBSPDEs are established, as well as comparison theorems. We then establish a relation between RBSPDEs and optimal stopping of SPDEs, and apply the result to a risk-minimizing stopping problem. | en_US |
dc.language | EN | |
dc.language.iso | en | en_US |
dc.title | Singular control and optimal stopping of SPDEs, and backward SPDEs with reflection | en_US |
dc.type | Journal article | en_US |
dc.creator.author | Øksendal, Bernt | |
dc.creator.author | Sulem, Agnès | |
dc.creator.author | Zhang, Tusheng | |
cristin.unitcode | 185,15,26,0 | |
cristin.unitname | Senter for matematikk for anvendelser | |
cristin.ispublished | true | |
cristin.fulltext | postprint | |
cristin.qualitycode | 2 | |
dc.identifier.cristin | 1096354 | |
dc.identifier.bibliographiccitation | info:ofi/fmt:kev:mtx:ctx&ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.jtitle=Mathematics of Operations Research&rft.volume=39&rft.spage=464&rft.date=2014 | |
dc.identifier.jtitle | Mathematics of Operations Research | |
dc.identifier.volume | 39 | |
dc.identifier.issue | 2 | |
dc.identifier.startpage | 464 | |
dc.identifier.endpage | 486 | |
dc.identifier.doi | http://dx.doi.org/10.1287/moor.2013.0602 | |
dc.identifier.urn | URN:NBN:no-46175 | |
dc.type.document | Tidsskriftartikkel | en_US |
dc.type.peerreviewed | Peer reviewed | |
dc.source.issn | 0364-765X | |
dc.identifier.fulltext | Fulltext https://www.duo.uio.no/bitstream/handle/10852/41721/2/194.BSPDEsingular%2C30Sept.2012.pdf | |
dc.type.version | AcceptedVersion | |