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Connections between optimal stopping and stochastic control I. Monotone follower problems

Published online by Cambridge University Press:  01 July 2016

Joannis Karatzas  and
Steven E. Shreve
Joannis Karatzas
Affiliation:
Columbia University
Steven E. Shreve
Affiliation:
Carnegie-Mellon University
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Extract

The stochastic control problem of tracking a Brownian motion by a non-decreasing process (monotone follower) is related to a question of optimal stopping. Direct probabilistic arguments are employed to show that the two problems are equivalent and that both admit optimal solutions.

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. 15
Copyright
Copyright © Applied Probability Trust 1984 

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