Existence, characterization and approximation in the generalized monotone follower problem

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dc.contributor.advisorŽitković, Gordanen
dc.contributor.committeeMemberChen, Thomasen
dc.contributor.committeeMemberLarsen, Kasperen
dc.contributor.committeeMemberSirbu, Mihaien
dc.contributor.committeeMemberZariphopoulou, Thaleiaen
dc.creatorLi, Jiexianen
dc.creator.orcid0000-0002-0056-8793en
dc.date.accessioned2015-10-02T19:59:49Zen
dc.date.available2015-10-02T19:59:49Zen
dc.date.issued2015-08en
dc.date.submittedAugust 2015en
dc.date.updated2015-10-02T19:59:49Zen
dc.descriptiontexten
dc.description.abstractWe revisit the classical monotone-follower problem and consider it in a generalized formulation. Our approach, based on a compactness substitute for nondecreasing processes, the Meyer-Zheng weak convergence, and the maximum principle of Pontryagin, establishes existence under minimal conditions, produces general approximation results and further elucidates the celebrated connection between optimal stochastic control and stopping.en
dc.description.departmentMathematicsen
dc.format.mimetypeapplication/pdfen
dc.identifierdoi:10.15781/T2BP4Ken
dc.identifier.urihttp://hdl.handle.net/2152/31517en
dc.language.isoenen
dc.subjectMaximum principleen
dc.subjectMeyer-Zheng convergenceen
dc.subjectMonotone-follower problemen
dc.subjectOptimal stochastic controlen
dc.subjectOptimal stoppingen
dc.subjectSingular controlen
dc.titleExistence, characterization and approximation in the generalized monotone follower problemen
dc.typeThesisen
thesis.degree.departmentMathematicsen
thesis.degree.disciplineMathematicsen
thesis.degree.grantorThe University of Texas at Austinen
thesis.degree.levelDoctoralen
thesis.degree.nameDoctor of Philosophyen

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