A note on asymptotics between singular and constrained control problems of one-dimensional diffusions

DOI10.1007/S10440-022-00530-WMaRDI QIDQ2089850zbMATH OpenOpenAlexFDO

Authors Harto Saarinen, Jukka Lempa

Publication date 24 October 2022

Published in Acta Applicandae Mathematicae (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://arxiv.org/abs/1909.06115

zbMATH Keywords

bounded variation controldiffusion processergodic controlPoisson processresolvent semigroupsingular stochastic control

Mathematics Subject Classification ID

Diffusion processes (60J60) Control/observation systems governed by ordinary differential equations (93C15) Stochastic systems in control theory (general) (93E03)

Abstract: We study the asymptotic relations between certain singular and constrained control problems for one-dimensional diffusions with both discounted and ergodic objectives. By constrained control problems we mean that controlling is allowed only at independent Poisson arrival times. We show that when the underlying diffusion is recurrent, the solutions of the discounted problems converge in Abelian sense to those of their ergodic counterparts. Moreover, we show that the solutions of the constrained problems converge to those of their singular counterparts when the Poisson rate tends to infinity. We illustrate the results with drifted Brownian motion and Ornstein-Uhlenbeck process.

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Cited in

(2)

• An Abelian Limit Approach to a Singular Ergodic Control Problem
• Two-sided Poisson control of linear diffusions

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