Research in stochastic analysis and control, with special emphasis on mathematical economics and on problems of singular control and optimal stopping. Particular topics include: (i) a detailed study of single-agent portfolio/consumption problems with very general market models and utility functions, using techniques from stochastic analysis; (ii) the associated treatment of equilibrium problems for an economy with several agents, whose joint optimal actions determine the prices of traded commodites by "clearing" the markets; (iii) a new approach to optimal stopping using the theory of balayage semimartingales, and the discussion of its ramifications for the reflection problem of Skorohod and for singular stochastic control; and (iv) a study of integral functionals for diffusion processes and semimartingales.

Agency
National Science Foundation (NSF)
Institute
Division of Mathematical Sciences (DMS)
Application #
8723078
Program Officer
Michael H. Steuerwalt
Project Start
Project End
Budget Start
1988-07-01
Budget End
1991-12-31
Support Year
Fiscal Year
1987
Total Cost
$162,681
Indirect Cost
Name
Columbia University
Department
Type
DUNS #
City
New York
State
NY
Country
United States
Zip Code
10027