Martingale Approach to Stochastic Control with Discretionary Stopping

被引：0
|
作者：
Ioannis Karatzas
Ingrid-Mona Zamfirescu
机构：
[1] Departments of Mathematics and Statistics,
[2] 619 Mathematics Building,undefined
[3] Columbia University,undefined
[4] MC 4438,undefined
[5] New York,undefined
[6] NY 10027,undefined
[7] Department of Mathematics,undefined
[8] Baruch College,undefined
[9] CUNY,undefined
[10] New York,undefined
[11] NY 10010,undefined
来源：
Applied Mathematics and Optimization | 2006年 / 53卷
关键词：
Stochastic control; Optimal stopping; Martingales; Doob-Meyer decompositions;
D O I：
暂无
中图分类号：
学科分类号：
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：21
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