A singular control problem with an expected and a pathwise ergodic performance criterion (Q995849): Difference between revisions
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Revision as of 01:51, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A singular control problem with an expected and a pathwise ergodic performance criterion |
scientific article |
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A singular control problem with an expected and a pathwise ergodic performance criterion (English)
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10 September 2007
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Summary: We consider the problem of controlling a general one-dimensional Itô diffusion by means of a finite-variation process. The objective is to minimise a long-term average expected criterion as well as a long-term pathwise criterion that penalise deviations of the underlying state process from a given nominal point as well as the expenditure of control effort. We solve the resulting singular stochastic control problems under general assumptions by identifying an optimal strategy that is explicitly characterised.
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Itô diffusion
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singular stochastic control
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ergodic expected criterion
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