On an Ergodic Two-Sided Singular Control Problem
Optimization and Control
2022-03-01 v2 Probability
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.
Cite
@article{arxiv.2108.05500,
title = {On an Ergodic Two-Sided Singular Control Problem},
author = {Khwanchai Kunwai and Fubao Xi and George Yin and Chao Zhu},
journal= {arXiv preprint arXiv:2108.05500},
year = {2022}
}