KTH Matematik |

Vid seminariet den 11 mars diskuteras Daniel Anderssons avhandling för tekn.lic.-examen:
Inbjuden diskutant: Professor Tomas Björk, Institutionen för finansiell ekonomi, Handelshögskolan i Stockholm. Seminariet ges på svenska.
In the second paper, we consider the so-called singular control problem, where the control consists of two components, one absolutely continuous and one singular. The absolutely continuous part of the control is allowed to enter both the drift and diffusion coefficient. The absolutely continuous part is relaxed in the classical way, i.e. the generator of the corresponding martingale problem is integrated with respect to a probability measure, guaranteeing the existence of an optimal control. This is shown to correspond to an SDE driven by a continuous orthogonal martingale measure. A maximum principle which describes necessary conditions for optimal relaxed singular control is derived. |

Sidansvarig: Filip Lindskog Uppdaterad: 14/02-2008 |