Arbeitspapier
On a class of singular stochastic control problems for reflected diffusions
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 onedimensional 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.
- Sprache
-
Englisch
- Erschienen in
-
Series: Center for Mathematical Economics Working Papers ; No. 592
- Klassifikation
-
Wirtschaft
- Thema
-
reflected one-dimensional diffusions
singular stochastic control
variational inequality
optimal stopping
optimal dividend
optimal harvesting
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Ferrari, Giorgio
- Ereignis
-
Veröffentlichung
- (wer)
-
Bielefeld University, Center for Mathematical Economics (IMW)
- (wo)
-
Bielefeld
- (wann)
-
2017
- Handle
- URN
-
urn:nbn:de:0070-pub-29304334
- Letzte Aktualisierung
-
10.03.2025, 11:43 MEZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Ferrari, Giorgio
- Bielefeld University, Center for Mathematical Economics (IMW)
Entstanden
- 2017
Ähnliche Objekte (12)
On a Class of Singular Stochastic Control Problems for Reflected Diffusions
On a Class of Infinite-Dimensional Singular Stochastic Control Problems
On a class of infinite-dimensional singular stochastic control problems
Joining the shortest queue, non-elliptic reflected diffusions and stationarity
Applied stochastic control of jump diffusions
Applied stochastic control of jump diffusions
Semiclassical analysis for diffusions and stochastic processes
(Reflected) Backward Stochastic Differential Equations and Contingent Claims
Derivation of macroscopic equations for interacting diffusions with singular kernels
Reflected Brownian motions in the KPZ universality class
Hyperbolic and dispersive singular stochastic PDEs
The Laplace method for singular stochastic PDEs
On a Class of Singular Stochastic Control Problems for Reflected Diffusions
On a Class of Infinite-Dimensional Singular Stochastic Control Problems
On a class of infinite-dimensional singular stochastic control problems
Joining the shortest queue, non-elliptic reflected diffusions and stationarity
Applied stochastic control of jump diffusions
Applied stochastic control of jump diffusions
Semiclassical analysis for diffusions and stochastic processes
(Reflected) Backward Stochastic Differential Equations and Contingent Claims
Derivation of macroscopic equations for interacting diffusions with singular kernels
Reflected Brownian motions in the KPZ universality class
Hyperbolic and dispersive singular stochastic PDEs
The Laplace method for singular stochastic PDEs
On a Class of Singular Stochastic Control Problems for Reflected Diffusions
On a Class of Infinite-Dimensional Singular Stochastic Control Problems
On a class of infinite-dimensional singular stochastic control problems
Joining the shortest queue, non-elliptic reflected diffusions and stationarity
Applied stochastic control of jump diffusions
Applied stochastic control of jump diffusions
Semiclassical analysis for diffusions and stochastic processes
(Reflected) Backward Stochastic Differential Equations and Contingent Claims
Derivation of macroscopic equations for interacting diffusions with singular kernels
Reflected Brownian motions in the KPZ universality class
Hyperbolic and dispersive singular stochastic PDEs