Optimal stopping, randomized stopping, and singular control with general information flow

DOI10.1137/S0040585X97T990642zbMATH Open1480.60103arXiv1802.06347OpenAlexW4214608446MaRDI QIDQ5034422FDOQ5034422

Authors: N. Agram, S. Haadem, B. Øksendal, F. Proske 

Publication date: 25 February 2022

Published in: Theory of Probability & Its Applications (Search for Journal in Brave)

Abstract: 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 filtration with no a priori assumed relation to the filtration of the process. We call these problems optimal stopping and randomized stopping with general information. Following an idea of Krylov [K] we introduce a special singular stochastic control problem with general 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.

Full work available at URL: https://arxiv.org/abs/1802.06347

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zbMATH Keywords

optimal controloptimal stoppingsingular controlgeneral information flow

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)

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Cited In (5)

• Optimal dividends with partial information and stopping of a degenerate reflecting diffusion
• On randomized stopping
• Stopping problems with an unknown state
• Modelling information flows by Meyer-\( \sigma \)-fields in the singular stochastic control problem of irreversible investment
• Singular stochastic control and optimal stopping with partial information of Itô-Lévy processes

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