On a class of singular stochastic control problems
This paper is a nice review of the recent results on singular stochastic control, mostly obtained by the authors. They consider the following problems: the state y(t) is governed by the singular stochastic differential equation \(y(t)=x+\nu (t)+\int^{t}_{0}g(y(s))ds+\int^{t}_{0}\sigma (y(s))dw(s),\) where an admissible control \(\nu\) is an increasing and positive adapted process. Minimize the payoff \(J_ x(\nu)=E\int^{\infty}_{0}e^{- \alpha t}f(y(t))dt\). Then the value function satisfies the dynamic programming equation under suitable conditions. Using the impulse control approximation, they show that the value function is the maximum solution of a quasivariational inequality.
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