Singular Stochastic Control and Optimal Stopping with Partial Information of Itô-Lévy Processes.
Bernt ØksendalAgnès SulemPublished in: SIAM J. Control. Optim. (2012)
Keyphrases
- stochastic control
- brownian motion
- optimal stopping
- partial information
- stochastic processes
- stochastic process
- optimal control
- differential equations
- incomplete information
- diffusion process
- vector valued
- poisson process
- heavy traffic
- queue length
- closed form solutions
- random fields
- probability distribution
- dynamic bayesian networks
- control problems
- image processing
- dynamic programming
- steady state
- conditional random fields
- random variables
- special case