A risk-sensitive ergodic singular stochastic control problem

DOI10.1137/24M166557XMaRDI QIDQ7253553zbMATH OpenFDO

Authors Justin Gwee, Mihail Zervos

Publication date 27 May 2026

Published in SIAM Journal on Control and Optimization (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1137/24M166557X

zbMATH Keywords

central bankergodic controlexchange ratelinear diffusionrisk-sensitive stochastic controlsingular stochastic controltarget zone

Mathematics Subject Classification ID

Hamilton-Jacobi equations in optimal control and differential games (49L12) Diffusion processes (60J60) Macroeconomic theory (monetary models, models of taxation) (91B64) Optimal stochastic control (93E20)

Cites work

• A class of singular stochastic control problems
• A Diffusion Model for Optimal Portfolio Selection in the Presence of Brokerage Fees
• A model for the long-term optimal capacity level of an investment project
• A singular control problem with an expected and a pathwise ergodic performance criterion
• An Abelian Limit Approach to a Singular Ergodic Control Problem
• Asymptotic harvesting of populations in random environments
• Classical and impulse stochastic control of the exchange rate using interest rates and reserves.
• Dependence of eigenvalues of Sturm-Liouville problems on the boundary
• scientific article; zbMATH DE number 3875117 (Why is no real title available?)
• scientific article; zbMATH DE number 1183917 (Why is no real title available?)
• Impulse Control Method and Exchange Rate
• Long-term optimal investment strategies in the presence of adjustment costs
• On an ergodic two-sided singular control problem
• On the singular control of exchange rates
• On the singular risk-sensitive stochastic maximum principle
• On the solutions of the problem for a singular ergodic control
• Optimal Central Bank intervention in the foreign exchange market
• Optimal ergodic harvesting under ambiguity
• Optimal stochastic intervention control with application to the exchange rate
• Optimal sustainable harvesting of populations in random environments
• Singular ergodic control for multidimensional Gaussian processes
• Singular ergodic control for multidimensional Gaussian–Poisson processes
• Singular stochastic control problems motivated by the optimal sustainable exploitation of an ecosystem
• Stationary stochastic control for Itô processes
• Stochastic differential equations with reflecting boundary condition in convex regions
• The Eigenvalue Problem of Singular Ergodic Control

This page was built for publication: A risk-sensitive ergodic singular stochastic control problem

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q7253553)