英文标题：
《Convex duality for stochastic singular control problems》
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作者：
Peter Bank and Helena Kauppila
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最新提交年份：
2014
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英文摘要：
We develop a general theory of convex duality for certain singular control problems, taking the abstract results by Kramkov and Schachermayer (1999) for optimal expected utility from nonnegative random variables to the level of optimal expected utility from increasing, adapted controls. The main contributions are the formulation of a suitable duality framework, the identification of the problem\'s dual functional as well as the full duality for the primal and dual value functions and their optimizers. The scope of our results is illustrated by an irreversible investment problem and the Hindy-Huang-Kreps utility maximization problem for incomplete financial markets.
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中文摘要：
我们发展了一个关于某些奇异控制问题的凸对偶的一般理论，将Kramkov和Schachermayer（1999）关于非负随机变量的最优期望效用的抽象结果，转化为递增自适应控制的最优期望效用水平。主要贡献是制定了一个合适的对偶框架，确定了问题的对偶函数，以及原始和对偶值函数及其优化器的完全对偶性。不完全金融市场下的一个不可逆投资问题和Hindy Huang Kreps效用最大化问题说明了我们结果的范围。
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分类信息：

一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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