On an ergodic two-sided singular control problem

DOI10.1007/S00245-022-09881-0MaRDI QIDQ2156349zbMATH OpenOpenAlexWikidataFDO

Authors Khwanchai Kunwai, George Yin, Chao Zhu, Fubao Xi

Publication date 18 July 2022

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/2108.05500

zbMATH Keywords

abelian limitCesàro limitergodic singular controlvanishing discount

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Optimal stochastic control (93E20)

Abstract: Motivated by applications in natural resource management, risk management, and finance, this paper is focused on an ergodic two-sided singular control problem for a general one-dimensional diffusion process. The control is given by a bounded variation process. Under some mild conditions, the optimal reward value as well as an optimal control policy are derived by the vanishing discount method. Moreover, the Abelian and Ces`aro limits are established. Then a direct solution approach is provided at the end of the paper.

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Cited in

(14)

• On solvability of a two-sided singular control problem
• Harvesting of a stochastic population under a mixed regular-singular control formulation
• On the solutions of the problem for a singular ergodic control
• Optimal Policies forn-Dimensional Singular Stochastic Control Problems. Part II: The Radially Symmetric Case. Ergodic Control
• Ergodic control of diffusions with random intervention times
• The Eigenvalue Problem of Singular Ergodic Control
• An Abelian Limit Approach to a Singular Ergodic Control Problem
• Two sided ergodic singular control and mean-field game for diffusions
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• Long-term average impulse and singular control of a growth model with two revenue sources
• A singular control problem with an expected and a pathwise ergodic performance criterion

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