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
TypeDocument de travail / Working paper
Series titleCahier de recherche CEREMADE, Université Paris-Dauphine
MetadataShow full item record
CEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
Department of Mathematics [ETH Zurich] [D-MATH]
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 / Keywordsminimal supersolution; singular stochastic control; constraint backward stochastic differential equation
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Briand, Philippe; Cardaliaguet, Pierre; Chaudru de Raynal, Paul-Éric; Hu, Ying (2019) Document de travail / Working paper