On a Class of Path-Dependent Singular Stochastic Control Problems

DOI10.1137/17M1114235MaRDI QIDQ4684782zbMATH OpenOpenAlexFDO

Authors Romuald Elie, L. Moreau, Dylan Possamaï

Publication date 25 September 2018

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

Full work available at URL https://arxiv.org/abs/1701.08861

zbMATH Keywords

regularitytransaction costsviscosity solutionssingular controlpath-dependent PDEsconstrained BSDEs

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Abstract: This paper studies a class of non$-$Markovian singular stochastic control problems, for which we provide a novel probabilistic representation. The solution of such control problem is proved to identify with the solution of a $Z-$constrained BSDE, with dynamics associated to a non singular underlying forward process. Due to the non$-$Markovian environment, our main argumentation relies on the use of comparison arguments for path dependent PDEs. Our representation allows in particular to quantify the regularity of the solution to the singular stochastic control problem in terms of the space and time initial data. Our framework also extends to the consideration of degenerate diffusions, leading to the representation of the solution as the infimum of solutions to $Z-$constrained BSDEs. As an application, we study the utility maximisation problem with transaction costs for non$-$Markovian dynamics.

Recommendations

• On a class of singular stochastic control problems
• scientific article; zbMATH DE number 3849114
• Une classe nouvelle de problèmes singuliers de contrôle stochastique
• A class of solvable singular stochastic control problems
• On a class of infinite-dimensional singular stochastic control problems
• scientific article; zbMATH DE number 4158536
• On some singular perturbation problems arising in stochastic control
• On a class of singular stochastic control problems for reflected diffusions
• scientific article; zbMATH DE number 18462

Cites work

• scientific article; zbMATH DE number 2134067 (Why is no real title available?)
• scientific article; zbMATH DE number 3849114 (Why is no real title available?)
• scientific article; zbMATH DE number 3327773 (Why is no real title available?)
• A connection between singular stochastic control and optimal stopping
• A general Doob-Meyer-Mertens decomposition for \(g\)-supermartingale systems
• A pseudo-Markov property for controlled diffusion processes
• A stochastic target formulation for optimal switching problems in finite horizon
• Adding constraints to BSDEs with jumps: an alternative to multidimensional reflections
• An Overview of Viscosity Solutions of Path-Dependent PDEs
• Backward Stochastic Differential Equations in Finance
• Backward stochastic differential equations with constraints on the gains-process
• Bounded Variation Singular Stochastic Control and Dynkin Game
• Calcul stochastique et problèmes de martingales
• Comparison of viscosity solutions of fully nonlinear degenerate parabolic path-dependent PDEs
• Connections Between Optimal Stopping and Singular Stochastic Control II. Reflected Follower Problems
• Connections between Optimal Stopping and Singular Stochastic Control I. Monotone Follower Problems
• Connections between Singular Control and Optimal Switching
• Connections between optimal stopping and singular stochastic control
• Controlled Markov processes and viscosity solutions
• Convex order for path-dependent derivatives: a dynamic programming approach
• Feynman-Kac representation for Hamilton-Jacobi-Bellman IPDE
• Monotonic limit theorem of BSDE and nonlinear decomposition theorem of Doob-Meyer's type
• On viscosity solutions of path dependent PDEs
• Optimal capacity expansion under uncertainty
• Optimal investment and consumption with transaction costs
• Optimization of the flow of dividends
• Portfolio Selection with Transaction Costs
• Regularity of BSDEs with a convex constraint on the gains-process
• Sequential decisions in the control of a space-ship (finite fuel)
• Stochastic target games and dynamic programming via regularized viscosity solutions
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. I.
• Viscosity solutions of fully nonlinear parabolic path dependent PDEs. II
• Weak dynamic programming for generalized state constraints

Cited in

(8)

• A singular control problem with an expected and a pathwise ergodic performance criterion
• Bank monitoring incentives under moral hazard and adverse selection
• A quasi-sure approach to the control of non-Markovian stochastic differential equations
• Pathwise Stochastic Control Problems and Stochastic HJB Equations
• Penalty method for portfolio selection with capital gains tax
• Equilibrium asset pricing with transaction costs
• On a class of singular stochastic control problems driven by Lévy noise
• Randomized and backward SDE representation for optimal control of non-Markovian SDEs

This page was built for publication: On a Class of Path-Dependent Singular Stochastic Control Problems

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4684782)