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LSU Doctoral Dissertations

2002

Optimal stopping

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Full-Text Articles in Physical Sciences and Mathematics

A Monotone Follower Control Problem With A Nonconvex Functional And Some Related Problems, Jamiiru Luttamaguzi Jan 2002

A Monotone Follower Control Problem With A Nonconvex Functional And Some Related Problems, Jamiiru Luttamaguzi

LSU Doctoral Dissertations

A generalized one-dimensional monotone follower control problem with a nonconvex functional is considered. The controls are assumed to be nonnegative progressively measurable processes. The verification theorem for this problem is presented. A specific monotone follower control problem with a nonconvex functional is then considered in which the diffusion term is constant. The optimal control for this problem, which is explicitly given, can be viewed as tracking a standard Wiener process by a non anticipating process starting at 0. For some parameters values, the value function for this monotone follower control problem is shown to be C2 and for other …