Autor:	E., Luis H. R. Alvarez, Matomäki, Pekka
Rok vydání:	2015
Předmět:	Mathematics - Probability
Druh dokumentu:	Working Paper
Popis:	We consider the problem of representing the value of singular stochastic control problems of linear diffusions as expected suprema. Setting the value accrued from following a standard reflection policy equal with the expected value of a unknown function at the running supremum of the underlying is shown to result into a functional equation from which the unknown function can be explicitly derived. We also consider the stopping problem associated with the considered singular stochastic control problem and present a similar representation as an expected supremum in terms of characteristics of the control problem. Comment: 22 pages, 1 figure
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/1508.02854 Zobrazit plný text záznamu View this record from Arxiv