On an Ergodic Two-Sided Singular Control Problem
On an Ergodic Two-Sided Singular Control Problem
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DOI：
10.1007/s00245-022-09881-0
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发表时间：
2022-07
影响因子：
1.8
通讯作者：
K. Kunwai;F. Xi;G. Yin;Chao Zhu
中科院分区：
文献类型：
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作者：
K. Kunwai;F. Xi;G. Yin;Chao Zhu
受自然资源管理、风险管理和金融应用的推动，本文重点研究一般一维扩散过程的遍历双边奇异控制问题。控制由有界变化过程给出。在一些温和的条件下，通过消失折扣法导出最优奖励值以及最优控制策略。此外，还建立了阿贝尔极限和切萨罗极限。然后在本文的最后提供了直接的解决方法。
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 Cesàro limits are established. Then a direct solution approach is provided at the end of the paper.