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hal.structure.identifierCEntre de REcherches en MAthématiques de la DEcision [CEREMADE]
dc.contributor.authorBouchard, Bruno
hal.structure.identifierDepartment of Mathematics [ETH Zurich] [D-MATH]
dc.contributor.authorCheridito, Patrick
hal.structure.identifierInstitut de Recherche Mathématique de Rennes [IRMAR]
dc.contributor.authorHu, Ying
dc.date.accessioned2018-09-03T11:55:17Z
dc.date.available2018-09-03T11:55:17Z
dc.date.issued2018
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/17925
dc.language.isoenen
dc.subjectminimal supersolutionen
dc.subjectsingular stochastic controlen
dc.subjectconstraint backward stochastic differential equationen
dc.subject.ddc519en
dc.titleBSDE formulation of combined regular and singular stochastic control problemsen
dc.typeDocument de travail / Working paper
dc.description.abstractenIn 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.en
dc.identifier.citationpages11en
dc.relation.ispartofseriestitleCahier de recherche CEREMADE, Université Paris-Dauphineen
dc.subject.ddclabelProbabilités et mathématiques appliquéesen
dc.identifier.citationdate2018-01
dc.description.ssrncandidatenonen
dc.description.halcandidatenonen
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.date.updated2018-09-03T11:49:10Z
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