
BSDE formulation of combined regular and singular stochastic control problems
Bouchard, Bruno; Cheridito, Patrick; Hu, Ying (2018), BSDE formulation of combined regular and singular stochastic control problems. https://basepub.dauphine.fr/handle/123456789/17925
View/ Open
Type
Document de travail / Working paperDate
2018Series title
Cahier de recherche CEREMADE, Université Paris-DauphinePages
11
Metadata
Show full item recordAuthor(s)
Bouchard, BrunoCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Cheridito, Patrick
Department of Mathematics [ETH Zurich] [D-MATH]
Hu, Ying
Institut de Recherche Mathématique de Rennes [IRMAR]
Abstract (EN)
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.Subjects / Keywords
minimal supersolution; singular stochastic control; constraint backward stochastic differential equationRelated items
Showing items related by title and author.
-
Abeille, Marc; Bouchard, Bruno; Croissant, Lorenzo (2023) Article accepté pour publication ou publié
-
Bouchard, Bruno (2009-09-24) Article accepté pour publication ou publié
-
Briand, Philippe; Cardaliaguet, Pierre; Chaudru de Raynal, Paul-Eric; Hu, Ying (2020) Article accepté pour publication ou publié
-
Zhegal, Amina; Touzi, Nizar; Bouchard, Bruno (2004) Article accepté pour publication ou publié
-
Bouchard, Bruno; Karoui, Nicole El; Touzi, Nizar (2005) Article accepté pour publication ou publié