On a class of singular stochastic control problems for reflected diffusions
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Publication:2633337
DOI10.1016/J.JMAA.2019.01.004zbMATH Open1415.93291arXiv1711.03741OpenAlexW2963336704WikidataQ128627038 ScholiaQ128627038MaRDI QIDQ2633337FDOQ2633337
Authors: Giorgio Ferrari 
Publication date: 8 May 2019
Published in: Journal of Mathematical Analysis and Applications (Search for Journal in Brave)
Abstract: Reflected diffusions naturally arise in many problems from applications ranging from economics and mathematical biology to queueing theory. In this paper we consider a class of infinite time-horizon singular stochastic control problems for a general one-dimensional diffusion that is reflected at zero. We assume that exerting control leads to a state-dependent instantaneous reward, whereas reflecting the diffusion at zero gives rise to a proportional cost with constant marginal value. The aim is to maximize the total expected reward, minus the total expected cost of reflection. We show that depending on the properties of the state-dependent instantaneous reward we can have qualitatively different kinds of optimal strategies. The techniques employed are those of stochastic control and of the theory of linear diffusions.
Full work available at URL: https://arxiv.org/abs/1711.03741
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- Singular stochastic control and optimal stopping
optimal dividendoptimal stoppingvariational inequalityoptimal harvestingsingular stochastic controlreflected one-dimensional diffusions
Stopping times; optimal stopping problems; gambling theory (60G40) Optimal stochastic control (93E20)
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Cited In (16)
- On a Class of Path-Dependent Singular Stochastic Control Problems
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