Hostname: page-component-586b7cd67f-tf8b9 Total loading time: 0 Render date: 2024-11-22T19:58:35.431Z Has data issue: false hasContentIssue false
  • English
  • Français

Connections Between Optimal Stopping and Stochastic Control II: Bounded-Variation Follower Problems

Published online by Cambridge University Press:  01 July 2016

Ioannis Karatzas  and
Steven E. Shreve
Ioannis Karatzas
Affiliation:
Columbia University
Steven E. Shreve
Affiliation:
Carnegie-Mellon University
Get access Rights & Permissions [Opens in a new window]

Extract

The stochastic control problem of tracking a Brownian motion by a process of bounded variation is reduced to a control problem with reflection at the origin, and the latter is related to a question of optimal stopping of Brownian motion absorbed at the origin. Direct probabilistic arguments can be used to show equivalences between the various problems.

Type
Applied Probability in Biology and Engineering. An ORSA/TIMS Special Interest Meeting
Information
Advances in Applied Probability , Volume 16 , Issue 1 , March 1984 , pp. 16
Copyright
Copyright © Applied Probability Trust 1984 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)