BSDE formulation of combined regular and singular stochastic control problems
Optimization and Control
2018-01-11 v1
Abstract
In this paper we study a class of combined regular and singular stochastic control problems that can be expressed as constrained BSDEs. In the Markovian case, this reduces to a characterization through a PDE with gradient constraint. But the BSDE formulation makes it possible to move beyond Markovian models and consider path-dependent problems. We also provide an approximation of the original control problem with standard BSDEs that yield a characterization of approximately optimal values and controls.
Cite
@article{arxiv.1801.03336,
title = {BSDE formulation of combined regular and singular stochastic control problems},
author = {Bruno Bouchard and Patrick Cheridito and Ying Hu},
journal= {arXiv preprint arXiv:1801.03336},
year = {2018}
}