A Degenerate Variance Control Problem with Discretionary Stopping

DOI10.1214/074921708000000363zbMath1166.93032OpenAlexW1509642492MaRDI QIDQ3626705

Ananda P. N. Weerasinghe, Daniel L. Ocone

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) Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

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Martingale approach to stochastic differential games of control and stopping

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