Expected supremum representation of the value of a singular stochastic control problem

DOI10.1137/15M1034957MaRDI QIDQ4599715zbMATH OpenFDO

Authors Luis H. R. Alvarez, Pekka Matomäki

Publication date 4 January 2018

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

Full work available at URL https://arxiv.org/abs/1508.02854

zbMATH Keywords

expected supremum representationlinear diffusionsrepresenting functionsingular stochastic control

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stopping times; optimal stopping problems; gambling theory (60G40) Diffusion processes (60J60) Optimal stochastic control (93E20)

Abstract: We consider the problem of representing the value of singular stochastic control problems of linear diffusions as expected suprema. Setting the value accrued from following a standard reflection policy equal with the expected value of a unknown function at the running supremum of the underlying is shown to result into a functional equation from which the unknown function can be explicitly derived. We also consider the stopping problem associated with the considered singular stochastic control problem and present a similar representation as an expected supremum in terms of characteristics of the control problem.

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