A Degenerate Variance Control Problem with Discretionary Stopping

DOI10.1214/074921708000000363MaRDI QIDQ3626705zbMATH OpenOpenAlexFDO

Authors Daniel L. Ocone, Ananda Weerasinghe

Publication date 22 May 2009

Published in Institute of Mathematical Statistics Collections (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/074921708000000363

zbMATH Keywords

diffusion processesdiscretionary stoppingdegenerate variance control

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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(5)

• Martingale approach to stochastic control with discretionary stopping
• A controller and a stopper game with degenerate variance control
• A singular control problem with discretionary stopping for geometric Brownian motions
• Degenerate variance control in the one-dimensional stationary case
• Martingale approach to stochastic differential games of control and stopping

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