{
  "id": "1505.02418",
  "version": "v1",
  "published": "2015-05-10T18:32:10.000Z",
  "updated": "2015-05-10T18:32:10.000Z",
  "title": "Existence, Characterization and Approximation in the Generalized Monotone-Follower Problem",
  "authors": [
    "Jiexian Li",
    "Gordan Zitkovic"
  ],
  "categories": [
    "math.OC"
  ],
  "abstract": "We revisit the classical monotone-follower problem and consider it in a generalized formulation. Our approach, based on a compactness substitute for nondecreasing processes, the Meyer-Zheng weak convergence, and the maximum principle of Pontryagin, establishes existence under minimal conditions, produces general approximation results and further elucidates the celebrated connection between optimal stochastic control and stopping.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2015-05-10T18:32:10.000Z"
    }
  ],
  "analyses": {
    "subjects": [
      "93E20"
    ],
    "keywords": [
      "generalized monotone-follower problem",
      "characterization",
      "produces general approximation results",
      "meyer-zheng weak convergence",
      "optimal stochastic control"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2015arXiv150502418L"
    }
  }
}