Singular stochastic control and optimal stopping with partial information of jump diffusions
We study partial information, possibly non-Markovian, singular stochastic control of jump diffusions and obtain general maximum principles. The results are used to find connections between singular stochastic control, reflected BSDEs and optimal stopping in the partial information case. Mathematics Subject Classification 2010: 93E20, 60H07, 60H10, 60HXX, 60J75
When to Cross the Spread? Trading in Two-Sided Limit Order Books
In this paper the problem of optimal trading in illiquid markets is addressed when the deviations from a given stochastic target function describing, for instance, external aggregate client flow are penalized. Using techniques of singular stochastic control, we extend the results of [F. Naujokat and N. Westray, Math. Financ. Econ., 4 (2011), pp. 299--335] to a two-sided limit order market with temporary market impact and resilience, where the bid ask spread is now also controlled. In addition to using market orders, the trader can also submit orders to a dark pool. We first show existence and uniqueness of an optimal control. In a second step, a suitable version of the stochastic maximum principle is derived which yields a characterization of the optimal trading strategy in terms of a nonstandard coupled forward-backward stochastic differential equation (FBSDE). We show that the optimal control can be characterized via buy, sell, and no-trade regions. The new feature is that we now get a nondegenerate no-...
Genetic Effects of Acute and Chronic Ionizing Irradiation on Pinus sylvestrisL. Inhabiting the Chernobyl Meltdown Area
The main results of the 12-year radiation-genetic monitoring of radiobiological, cytogenetic, and genetic parameters in Pinus sylvestrisforest plantation from the Chernobyl meltdown area are presented. The acute ionizing irradiation at doses > 1 Gy was shown to induce formation of morphoses and depressed growth; at doses >2 Gy, the reproductive ability of the trees declined. The radiobiological parameters showed a linear or close to linear dose-dependence relationship. The acute irradiation at a dose of 0.5 Gy induced cytogenetic and genetic effects that were significantly higher than the corresponding control values. The relationship between the cytogenetic effects and the absorbed dose was exponential. The dependence of the mutation frequency at specific loci on the absorbed dose was described by a nonlinear curve. The results of cytogenetic analysis of seedlings obtained from seeds annually collected in zones of slight, moderate, and strong damage of Pinus sylvestrisL. are presented.