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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
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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 

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