Titelaufnahme

Titel
On a class of infinite-dimensional singular stochastic control problems / Salvatore Federico, Giorgio Ferrari, Frank Riedel and Michael Röckner
VerfasserFederico, Salvatore In der Gemeinsamen Normdatei der DNB nachschlagen ; Ferrari, Giorgio In der Gemeinsamen Normdatei der DNB nachschlagen ; Riedel, Frank In der Gemeinsamen Normdatei der DNB nachschlagen ; Röckner, Michael In der Gemeinsamen Normdatei der DNB nachschlagen
ErschienenBielefeld, Germany : Center for Mathematical Economics (IMW), Bielefeld University, April 2019
Ausgabe
Elektronische Ressource
Umfang1 Online-Ressource (21 Seiten) : HT018948656
SerieCenter for Mathematical Economics Working papers ; 614
URNurn:nbn:de:hbz:6:2-121846 Persistent Identifier (URN)
Zugriffsbeschränkung
 Das Dokument ist frei verfügbar.
Dateien
On a class of infinite-dimensional singular stochastic control problems [0.49 mb]
Zusammenfassung

We study a class of infinite-dimensional singular stochastic control problems with applications in economic theory and finance. The control process linearly affects an abstract evolution equation on a suitable partially-ordered infinite-dimensional space X, it takes values in the positive cone of X, and it has right-continuous and nondecreasing paths. We first provide a rigorous formulation of the problem by properly defining the controlled dynamics and integrals with respect to the control process. We then exploit the concave structure of our problem and derive necessary and sufficient first-order conditions for optimality. The latter are finally exploited in a specification of the model where we find an explicit expression of the optimal control. The techniques used are those of semigroup theory, vector-valued integration, convex analysis, and general theory of stochastic processes.

Klassifikation
Links
Nachweis