Martingale approach to stochastic control with discretionary stopping

被引：27
|
作者：
Karatzas, I
Zamfirescu, IM
机构：
[1] Columbia Univ, Dept Math & Stat, New York, NY 10027 USA
[2] CUNY Bernard M Baruch Coll, Dept Math, New York, NY 10010 USA
来源：
APPLIED MATHEMATICS AND OPTIMIZATION | 2006年 / 53卷 / 02期
关键词：
stochastic control; optimal stopping; martingales; Doob-Meyer decompositions;
D O I：
10.1007/s00245-005-0841-2
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
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.
引用
收藏
页码：163 / 184
页数：22
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