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arXiv · 2108.05500

On an Ergodic Two-Sided Singular Control Problem

Khwanchai Kunwai·Fubao Xi·George Yin·Chao Zhu
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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 Cesàro limits are established. Then a direct solution approach is provided at the end of the paper.

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Khwanchai Kunwai, Fubao Xi, George Yin, Chao Zhu. 2022-02-25. On an Ergodic Two-Sided Singular Control Problem. https://arxiv.org/abs/2108.05500

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