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Optimal stopping, randomized stopping and singular control with partial information flow
Linnaeus University, Faculty of Technology, Department of Mathematics. (Stochastic analysis and stochastic processes)
University of Oslo, Norway.
University of Oslo, Norway.
University of Oslo, Norway.
(English)In: Article in journal (Refereed) Submitted
Abstract [en]

The purpose of this paper is two-fold: We extend the well-known relation between optimal stopping and randomized stopping of a given stochastic process to a situation where the available information flow is a sub-filtration of the filtration of the process. We call these problems optimal stopping and randomized stopping with partial information. Following an idea of Krylov [K] we introduce a special singular stochastic control problem with partial information and show that this is also equivalent to the partial information optimal stopping and randomized stopping problems. Then we show that the solution of this singular control problem can be expressed in terms of (partial information) variational inequalities, which in turn can be rewritten as a reflected backward stochastic differential equation (RBSDE) with partial information.

National Category
Computational Mathematics
Research subject
Mathematics, Mathematics
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URN: urn:nbn:se:lnu:diva-82306OAI: oai:DiVA.org:lnu-82306DiVA, id: diva2:1307468
Available from: 2019-04-26 Created: 2019-04-26 Last updated: 2019-08-28

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CiteExportLink to record
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