{"id":"https://openalex.org/W2063518542","doi":"https://doi.org/10.1137/100793931","title":"Singular Stochastic Control and Optimal Stopping with Partial Information of It\u00f4--L\u00e9vy Processes","display_name":"Singular Stochastic Control and Optimal Stopping with Partial Information of It\u00f4--L\u00e9vy Processes","publication_year":2012,"publication_date":"2012-01-01","ids":{"openalex":"https://openalex.org/W2063518542","doi":"https://doi.org/10.1137/100793931","mag":"2063518542"},"language":"en","primary_location":{"id":"doi:10.1137/100793931","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100793931","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"http://urn.nb.no/URN:NBN:no-28930","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5078265147","display_name":"Bernt \u00d8ksendal","orcid":"https://orcid.org/0000-0002-5168-142X"},"institutions":[{"id":"https://openalex.org/I4210088595","display_name":"Technology Applications (United States)","ror":"https://ror.org/009r6as98","country_code":"US","type":"company","lineage":["https://openalex.org/I4210088595"]}],"countries":["US"],"is_corresponding":true,"raw_author_name":"Bernt \u00d8ksendal","raw_affiliation_strings":["Center of Mathematics for Applications [Oslo]"],"affiliations":[{"raw_affiliation_string":"Center of Mathematics for Applications [Oslo]","institution_ids":["https://openalex.org/I4210088595"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5017245116","display_name":"Agn\u00e8s Sulem","orcid":"https://orcid.org/0009-0005-3340-1294"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Agn\u00e8s Sulem","raw_affiliation_strings":["Financial mathematics"],"affiliations":[{"raw_affiliation_string":"Financial mathematics","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5078265147"],"corresponding_institution_ids":["https://openalex.org/I4210088595"],"apc_list":null,"apc_paid":null,"fwci":4.2332,"has_fulltext":false,"cited_by_count":39,"citation_normalized_percentile":{"value":0.94644646,"is_in_top_1_percent":false,"is_in_top_10_percent":true},"cited_by_percentile_year":{"min":90,"max":99},"biblio":{"volume":"50","issue":"4","first_page":"2254","last_page":"2287"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9994999766349792,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12011","display_name":"Insurance, Mortality, Demography, Risk Management","score":0.9905999898910522,"subfield":{"id":"https://openalex.org/subfields/3317","display_name":"Demography"},"field":{"id":"https://openalex.org/fields/33","display_name":"Social Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T12137","display_name":"Economic theories and models","score":0.9781000018119812,"subfield":{"id":"https://openalex.org/subfields/2002","display_name":"Economics and Econometrics"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.8144526481628418},{"id":"https://openalex.org/keywords/optimal-stopping","display_name":"Optimal stopping","score":0.7640007138252258},{"id":"https://openalex.org/keywords/stopping-time","display_name":"Stopping time","score":0.726436972618103},{"id":"https://openalex.org/keywords/optimal-control","display_name":"Optimal control","score":0.6604812145233154},{"id":"https://openalex.org/keywords/stochastic-control","display_name":"Stochastic control","score":0.6294600963592529},{"id":"https://openalex.org/keywords/partial-differential-equation","display_name":"Partial differential equation","score":0.5587493181228638},{"id":"https://openalex.org/keywords/class","display_name":"Class (philosophy)","score":0.5542369484901428},{"id":"https://openalex.org/keywords/singular-control","display_name":"Singular control","score":0.5403904914855957},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5086218118667603},{"id":"https://openalex.org/keywords/stochastic-differential-equation","display_name":"Stochastic differential equation","score":0.4934181272983551},{"id":"https://openalex.org/keywords/stochastic-partial-differential-equation","display_name":"Stochastic partial differential equation","score":0.4688725769519806},{"id":"https://openalex.org/keywords/markov-process","display_name":"Markov process","score":0.45355042815208435},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.37389302253723145},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.2544904947280884},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.13321685791015625},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.06392994523048401}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.8144526481628418},{"id":"https://openalex.org/C99414536","wikidata":"https://www.wikidata.org/wiki/Q7098950","display_name":"Optimal stopping","level":2,"score":0.7640007138252258},{"id":"https://openalex.org/C99888217","wikidata":"https://www.wikidata.org/wiki/Q1288707","display_name":"Stopping time","level":2,"score":0.726436972618103},{"id":"https://openalex.org/C91575142","wikidata":"https://www.wikidata.org/wiki/Q1971426","display_name":"Optimal control","level":2,"score":0.6604812145233154},{"id":"https://openalex.org/C170131372","wikidata":"https://www.wikidata.org/wiki/Q7617811","display_name":"Stochastic control","level":3,"score":0.6294600963592529},{"id":"https://openalex.org/C93779851","wikidata":"https://www.wikidata.org/wiki/Q271977","display_name":"Partial differential equation","level":2,"score":0.5587493181228638},{"id":"https://openalex.org/C2777212361","wikidata":"https://www.wikidata.org/wiki/Q5127848","display_name":"Class (philosophy)","level":2,"score":0.5542369484901428},{"id":"https://openalex.org/C2777984672","wikidata":"https://www.wikidata.org/wiki/Q7524238","display_name":"Singular control","level":3,"score":0.5403904914855957},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5086218118667603},{"id":"https://openalex.org/C51955184","wikidata":"https://www.wikidata.org/wiki/Q1545585","display_name":"Stochastic differential equation","level":2,"score":0.4934181272983551},{"id":"https://openalex.org/C84629840","wikidata":"https://www.wikidata.org/wiki/Q16979017","display_name":"Stochastic partial differential equation","level":3,"score":0.4688725769519806},{"id":"https://openalex.org/C159886148","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov process","level":2,"score":0.45355042815208435},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.37389302253723145},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.2544904947280884},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.13321685791015625},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.06392994523048401},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1137/100793931","is_oa":false,"landing_page_url":"https://doi.org/10.1137/100793931","pdf_url":null,"source":{"id":"https://openalex.org/S897311980","display_name":"SIAM Journal on Control and Optimization","issn_l":"0363-0129","issn":["0363-0129","1095-7138"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Control and Optimization","raw_type":"journal-article"},{"id":"pmh:oai:www.duo.uio.no:10852/10257","is_oa":true,"landing_page_url":"http://urn.nb.no/URN:NBN:no-28930","pdf_url":null,"source":{"id":"https://openalex.org/S4306401717","display_name":"Duo Research Archive (University of Oslo)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I184942183","host_organization_name":"University of Oslo","host_organization_lineage":["https://openalex.org/I184942183"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/report"},{"id":"pmh:oai:www.duo.uio.no:10852/41673","is_oa":true,"landing_page_url":"http://hdl.handle.net/10852/41673","pdf_url":null,"source":{"id":"https://openalex.org/S4306401716","display_name":"Duo Research Archive (University of Oslo)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I184942183","host_organization_name":"University of Oslo","host_organization_lineage":["https://openalex.org/I184942183"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"0363-0129","raw_type":"info:eu-repo/semantics/article"},{"id":"mag:3126114984","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":null,"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":null}],"best_oa_location":{"id":"pmh:oai:www.duo.uio.no:10852/10257","is_oa":true,"landing_page_url":"http://urn.nb.no/URN:NBN:no-28930","pdf_url":null,"source":{"id":"https://openalex.org/S4306401717","display_name":"Duo Research Archive (University of Oslo)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I184942183","host_organization_name":"University of Oslo","host_organization_lineage":["https://openalex.org/I184942183"],"host_organization_lineage_names":[],"type":"repository"},"license":"other-oa","license_id":"https://openalex.org/licenses/other-oa","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"info:eu-repo/semantics/report"},"sustainable_development_goals":[],"awards":[],"funders":[],"has_content":{"grobid_xml":false,"pdf":false},"content_urls":null,"referenced_works_count":24,"referenced_works":["https://openalex.org/W1180801184","https://openalex.org/W1755636257","https://openalex.org/W1965848287","https://openalex.org/W1972350190","https://openalex.org/W1972668253","https://openalex.org/W1976984865","https://openalex.org/W1991610297","https://openalex.org/W1995522593","https://openalex.org/W1999351264","https://openalex.org/W2019740115","https://openalex.org/W2020337075","https://openalex.org/W2032945067","https://openalex.org/W2060950178","https://openalex.org/W2068206136","https://openalex.org/W2070807633","https://openalex.org/W2076424721","https://openalex.org/W2079246218","https://openalex.org/W2082245808","https://openalex.org/W2090866533","https://openalex.org/W2090929784","https://openalex.org/W2128999120","https://openalex.org/W2135400743","https://openalex.org/W2137357746","https://openalex.org/W2157883119"],"related_works":["https://openalex.org/W2357686002","https://openalex.org/W10520729","https://openalex.org/W2357863468","https://openalex.org/W2002031424","https://openalex.org/W2767258356","https://openalex.org/W2388423988","https://openalex.org/W2058819565","https://openalex.org/W2060950178","https://openalex.org/W2379449944","https://openalex.org/W3126114984"],"abstract_inverted_index":{"We":[0],"study":[1],"partial":[2,38,60],"information,":[3],"possibly":[4],"non-Markovian,":[5],"singular":[6,25],"stochastic":[7,26,30],"control":[8],"of":[9,52],"It\u00f4--L\u00e9vy":[10],"processes":[11],"and":[12,33,59],"obtain":[13],"general":[14],"maximum":[15],"principles.":[16],"The":[17],"results":[18],"are":[19],"used":[20],"to":[21,49],"find":[22],"connections":[23],"between":[24],"control,":[27],"reflected":[28],"backward":[29],"differential":[31],"equations,":[32],"optimal":[34,53],"stopping":[35,54],"in":[36],"the":[37],"information":[39],"case.":[40],"As":[41],"an":[42,46],"application":[43],"we":[44],"give":[45],"explicit":[47],"solution":[48],"a":[50],"class":[51],"problems":[55],"with":[56],"finite":[57],"horizon":[58],"information.":[61]},"counts_by_year":[{"year":2024,"cited_by_count":1},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":3},{"year":2021,"cited_by_count":2},{"year":2020,"cited_by_count":5},{"year":2019,"cited_by_count":3},{"year":2018,"cited_by_count":6},{"year":2017,"cited_by_count":3},{"year":2016,"cited_by_count":1},{"year":2015,"cited_by_count":5},{"year":2014,"cited_by_count":4},{"year":2013,"cited_by_count":2}],"updated_date":"2026-04-04T16:13:02.066488","created_date":"2025-10-10T00:00:00"}
