Martingale Approach to Stochastic Control with Discretionary Stopping
Journal Article
·
· Applied Mathematics and Optimization
- Departments of Mathematics and Statistics, 619 Mathematics Building, Columbia University, MC 4438, New York, NY 10027 (United States)
- Department of Mathematics, Baruch College, CUNY, New York, NY 10010 (United States)
We develop a martingale approach for continuous-time stochastic control with discretionary stopping. The relevant Dynamic Programming Equation and Maximum Principle are presented. Necessary and sufficient conditions are provided for the optimality of a control strategy; these are analogues of the 'equalization' and 'thriftiness' conditions introduced by Dubins and Savage (1976) in a related, discrete-time context. The existence of a thrifty control strategy is established.
- OSTI ID:
- 21067425
- Journal Information:
- Applied Mathematics and Optimization, Journal Name: Applied Mathematics and Optimization Journal Issue: 2 Vol. 53; ISSN 0095-4616
- Country of Publication:
- United States
- Language:
- English
Similar Records
Martingale ergodic and ergodic martingale processes with continuous time
Necessary Conditions for Optimal Control of Stochastic Evolution Equations in Hilbert Spaces
A Connection between Singular Stochastic Control and Optimal Stopping
Journal Article
·
Tue Jun 30 00:00:00 EDT 2009
· Sbornik. Mathematics
·
OSTI ID:21301609
Necessary Conditions for Optimal Control of Stochastic Evolution Equations in Hilbert Spaces
Journal Article
·
Wed Jun 15 00:00:00 EDT 2011
· Applied Mathematics and Optimization
·
OSTI ID:22043924
A Connection between Singular Stochastic Control and Optimal Stopping
Journal Article
·
Sun Dec 14 23:00:00 EST 2003
· Applied Mathematics and Optimization
·
OSTI ID:21064228